time series regression

  1. S

    Country comparison over time with growth rates

    Hello there! I am struggling at the analysis part of my thesis. I want to compare countries according to their growth rates over time. So in other words, do they increase or decrease over time more than the others or less… I saw that time series panel data regression with dummy coding for the...
  2. S

    Regression with Time Series data

    I have count data, some of which forms an exponential decay type distribution and other data sets which are log normal. They are time series and I’m looking to create autoregressive models using first or second order lags. I have a couple of questions which are follows Is normalising the...
  3. M

    Time Series Analysis: time lag and decomposition

    Hi everyone, currently I'm working on a project where I want to test effects of external indicators on internal sales data. So I already collected a lot of data and now want to compare two time series. But there are some things I'm not sure about: Is it recommendable to decompose each time...
  4. J

    Autoregression model failed Breusch-Godfrey test and Shapiro-Wilk test

    I built an Autoregression model. It passed the ADF test, Durbin-Watson test, and Ramsey RESET Test. However, it failed the Breusch-Godfrey test and Shapiro-Wilk test. Can this model still be used? Are there any cautions when using it? Thanks!
  5. P

    Power analysis for time series regression

    Hello, I'm trying to determine the sample size I need for a study. In the analysis, I will be including three predictors (score on a questionnaire, time, scorextime interaction) and one outcome variable. I am only using one group of individuals and collecting data at baseline, time 1, time 2...
  6. S

    Interpreting VECM/ ECM result

    Hi, I am currently working on a paper where I run a VECM and get significant values. However, I am not quite sure about how to interpret the output and how take the different values and express them with an equation. I run the test in SATA using the vec command Attached is a picture of...
  7. P

    When should a time series model be used

    Consider the following scenario: i have a set of responses y(t),y(t-1),.....y(1), where Y's are continuous and fall between [0,1] , and "t" is the time. A set of predictors x(t),x(t-1),....x(1). Some of these predictors include day of the week, month of the year, etc that "t" falls into. The...
  8. purifyz

    Which type of time series to use?

    Hey, I have a data set which includes weekly/monthly sales and questions about customer satisfaction. I have already done EFA/CFA based on these satisfaction questions (turns out it's just one satisfaction factor) I would like to regress sales on satisfaction, but I think I should include a...
  9. R

    Reading/converting time series in R

    Hi, I am relatively new to R and struggling with a probably trivial task. My challenge: I want to forecast hourly Power prices. And this is already where the dilemma starts as I am not sure how to tackle this best. Since there is an obvious weekly cycle (ie Power Prices much lower on weekends)...
  10. M

    Regression with cointegrated time series data

    Hello, I am studying a predator-prey relationships using field data collected biannually over 5 years. For example, here is some abundance data: pred,prey 23.0,0.1 31.5,0.7 18.0,1.4 26.0,2.6 25.5,3.3 36.7,5.0 52.3,20.9 38.7,11.1 47.0,13.9 43.3,13.7 I wish to estimate the numerical response...
  11. R

    Error Calculating MVN Likelihood of Time Series with AR(1) Errors in R

    Hi all, I'm having trouble calculating the likelihood of a time series with AR(1) errors. I am generating my covariance matrix according to page 2 of (http://cran.r-project.org/doc/contrib/Fox-Companion/appendix-timeseries-regression.pdf), using the library mvtnorm and the multivariate normal...
  12. S

    Time Series Regression

    Hi Guys I am doing time series regression Had tried to find the order of correlation but the ACF function is a cyclical one (line a sine curve) Then I tried finding the order of MA (Moving Average) process, which came out to be 7 However when I am charting residuals vs predicted value it is...
  13. J

    Interest Rates and ARIMA models

    Hello, My goal is to forecast t-bill/note interest rates to help determine whether it'd be useful to purchase an interest rate swap on a loan (25 year amort. due in 7 years). I have learned ARIMA models, specifically AR[1] models are useful to forecasting rates. Please see attached...