Solved – Determining trend significance in a time series

I have some time series data and want to test for the existence of and estimate the parameters of a linear trend in a dependent variable w.r.t. time, i.e. time is my independent variable. The time points cannot be considered IID under the null of no trend. Specifically, the error terms for points sampled near … Read more

Solved – Estimating out-of sample forecast for an ARIMA model

I’m trying to estimate the out-of sample forecast of an ARIMA model, I tried the code below, but it totally doesn’t work! for(i in 1:83) { mod[i] <- arima(window(betahat[,1], start=1, end=109+i),order=c(1,0,0),include.mean=TRUE) pre[i] <- predict(mod[i],12) error[i] <- pre[i]$pred[12]-betahat[(109+i+12),1] } the data are taken monthly and I divided the data into 2 subsets, the first composed by … Read more

Solved – Why is the dickey fuller test different from a simple t-test

I am trying to understand why should there be different distribution for t-statistic, in case of AR model, Dickey-Fuller test For e.g. Say, the model is $Y_t = beta_lY_{t-1} + varepsilon_{t}$. Why should I not use Simple linear regression model like $y_i = beta_0 + beta_1x_i+epsilon_i$, where $x_i = Y_{t-1} $ and $y_i = Y_t$, … Read more

Solved – Understanding of the specification of the Johansen Cointegration test in R

I've just started getting into cointegration testing in R using the "urca" and "tseries" packages last week and am still very confused about the different arguments, despite having read the manuals. This is of concern as my cointegration tests have so far yielded "no cointegration" results, when I know intuitively that my series should co-integrate … Read more

Solved – How to choose a unit of analysis (level of aggregation) in a time series

If you can measure a time series of observations at any level of precision in time, and your goal of the study is to identify a relationship between X and Y, is there any empirical justification for choosing a specific level of aggregation over another, or should the choice be simply taken based on theory … Read more

Solved – How to view large time series data interactively

I often deal with reasonable sized amount of time series data, 50-200 million doubles with associated time stamps and would like to visualize them dynamically. Is there existing software to do this effectively? How about libraries and data formats? Zoom-cache is one example of library focusing on large time series. In Zoom-cache the data is … Read more

Solved – How to train the Model in Time Series with Holiday, Weekends

I am working on time series to forecast the number of inbound calls for next 1 month on a daily basis. I built a model using auto.arima and forecasted. My forecasting data is showing gradually increasing no. of calls irrespective of holiday or weekend. (I have data for 2 months Aug-1-2016 to Dec-31- 2016. Here … Read more