time series regression

I'm running a regression on two time series of financial returns, one dependent and one explanatory/independent. For the explanatory time series, I'm creating several lagged versions and using all of them as independent variables in in a multiple linear regression. My question is, how do I...

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...

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...

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...

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!

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...

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...

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...

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...

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)...

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...

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...

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...

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...