time series

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    Trend data with categorical independent variables

    I have 4 time points (future timepoints will be added shortly) measured for each company (about n=150). Each company is associated with one of 20 regions which is associated with one of six cities. At each time point, a % injured is calculated that was converted to a specific rate. I think...
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    year fixed effects in time series regression

    I'm trying to estimate what effect the tariff rate in a specific country has on evasion of tariffs (or rather the underreporting of the value of goods in customs). My dependent variable is a proxy for evasion and the explanatory one is tariffs. I have data spanning continuously over about 15...
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    Gretl - Pooled Time Series Cross Sectional Data

    I've been working on a multiple regression analysis on bank failures using a probit model. I am currently using cross sectional data but I would like to use time series data in order to use historical data and increase the sample size. I am unsure of how to do this using the Gretl interface...
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    Challenge: dependent variable observed randomly over time

    Hello everyone, I have been working on this problem and couldn't find a solution so any kind of help is more than welcome! I have data ranging from the year 1900 to 2000 in 150 cities for four independent variables (one of which is a dummy). These nicely constitute the requirements of a...
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    Time series or just repeated measures?

    Hi All, I have data on 7 clusters (ie, sites). The date are monthly counts (there is no zero inflation in most of the outcomes of interest...most clusters have a count in the 10s-100s for each month) , from Jan 2004 to May 2010, however only one cluster has data before March 2006. By...
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    Good Resources for understanding Time Series Analysis

    Hi All, I am new to time series analyst community. Basically I am an IT capacity planner and need to understand the concepts of Time series analysis. I am not from statistics background, so avoiding books covering the formula derivations, too much theory. I have SAS ETS and HPF modules...
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    VECM help!

    Hey all, I have a problem concerning STATA'S VECM capabilities. I am trying to run a regression using vec and implement an irf from the model. However, after running a vec, irfs do not include confidence intervals. This is not unique to STATA but I can't figure out why the bootstrap method...
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    Estimate of mean after a time series approaches equilibrium

    I am working with a time series for a quantity that undergoes some relaxation towards a mean value, after which it appears to exhibit strong noise and possibly some very weak drift. Here is a graph of the time series: While I can eyeball a good estimate for this mean, I'd like a more...
  9. M

    Running Times Series and Cross Section Analysis separately over the same data?

    Hi all! I am running over the same data a time-series regression and a cross section analysis. The time-series regression determines the bond spread regression for a certain firm based on the firm past bond spread historical. The cross section regression determines the regression based...