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hello i need some help. I have the following requirement: Estimate a univariate time series model (white noise, autoregressive, moving average or ARMA) that you think best describes the time series you have chosen and interpret your results. I tried using KO (coca cola) returns but i'm not understanding which is the best prcoess#
Excellent videos. To the point. Very helpful specially from an application perspective. Have watched a lot of your content. You are doing brilliant work. Please keep this going!! Best wishes!! :)
Hi Prateek, I am humbled and encouraged by your positive feedback. I hope to do more to help as many that are willing to learn..may I know from where (location) you are reaching me?
Hi Alexandra, I am humbled by your positive feedback and remarks. I will continue to do my best to simplify the technicalities involved in econometric analysis. I hope that you will subscribe (it's FREE) and encourage your friends and colleagues to do same. Please may I know from where (location) you are reaching me?
Dear Madam, Thanks for the clear presentation. Anyway, I may have a question. Your estimation was done in two parts; first: ARMA (1, 1), ARMA (1, 1), ARMA (1, 8), ARMA (8, 1) and ARMA (8, 8). We found that ARMA (1, 8) was the best based on the criteria (AI, SBC, …). Then, the second stage was the estimation of AR(1) AR(12) MA(8) and AR(1) MA(8) MA(12). Getting the result, we found also that AR(1) MA(8) MA(12) was selected for forecasting. So, my question is why we should estimate into two steps like that? Isn’t it a wrong path if we estimate all the possible equation at once: ARMA (1, 1), ARMA (1, 1), ARMA (1, 8), ARMA (8, 1), ARMA (8, 8), ARMA (1, 12), ARMA (12, 1), ARMA (12, 8), ARMA (8, 11), and ARMA (12, 12); then, we will choose the best based on these set criteria? Because we know from the correlogram that lag 12 is significant. If we would do that; could we get the same result? I wanna try but I do not find the link of the downloadable data. Thanks for your coming response and also for your good explanation.
Hi Lala, no harm in exploring your procedure. After all, there is no end to learning and there are several ways to get a bird. Also, the link to the dataset is shown in the video and available in the video description. May I know from where (location) you are reaching me?
@@CrunchEconometrix Lala from Madagascar; let me try to find the data and launch my e views. I ll be back in the discussion for the result ... Many thanks again for ur kindness
Are the t-statistics for ARMA coefficients adjusted for the bias of the estimator? there is no really a good way to estimate ARMA coefficients bias free like in a regular regression setting. if not, they are wrong even in large samples as the bias is very persistent and consistency kicks in in the limit.
Thanks for the video...But I would like to ask...if re-estimation is done to include an additional AR or MA term...how would the new ARIMA expression look like?
Thank you for the extremely beneficial videos! I would like to ask, if one finds that there are some lags lying outside the bounds when he tests for autocorrelation, what could be the reason for this and what are the possible ways to solve this? Thanks in advance!
Hi Musah, I explained this and also showed what to do either in this clip or in the Stata version. So, you may need to watch both and adapt the information to your study. Thanks.
Hello Mrs. Thanks a lot for your videos. They are really helpful. I'd like to ask a quick question. When you adjust the model arima (1,1,8) with ma(12), how should we then write the new adjusted model ? Arima (1,1,8,12) ? I guess not, I'd like to understand this part. Thank you.
Hi Dimitri, if I were to do this, I will only make a note in my work on the adjusted model....and not necessarily specify another having initially done so. Thanks.
Thanks you for your video, I have learnt a lot... i just have 1 question, i am comparing 2 models, one of them has high adjusted R2, low AIC & SBIC, but the sigmasq is also higher... which model should I choose madam?
Hi! Thanks for your videos, I found them really helpful. May I just ask a technical question, please? If I am using EViews8, do I have to write: ar(1) ar(2) ar(3) .... ar(8) ma(1) ma(2) ...ma(8) and so on when estimating ARIMA(8,1,8), for instance? Or can I only include the necessary lag order without writing them from the first one to the necessary one? Thank you in advance
Hello sir. Thank you for this helpful video. I have a question. With the ARIMA method, how can we obtain the results of the volatility of that variable for each period of a variable, for example in an annual data set, for each year. For example, 1990 --- 1991 ---- 1992. Thank you.
Thanks Berk for the positive feedback...appreciated! I have no idea about the approach you are suggesting. You may need to check other online resources. Regards.
hello Madam. MY name is Abu Bakar. thank you so much for this humanitarian gesture. i really appreciate your effort. my question is: I am working on panel data. but couldn't run ARIMA with this panel data in eviews. can you kindly help. Thank you
Hi Tuki, thanks for the positive feedback. Deeply appreciated! But it appears you skipped the prerequisite videos on "model estimation and selection". Kindly watch them for more information. Please may I know from where (location) you are reaching me?
Dear Professor, On determining the optimal model and including number of lags in the ARIMA (P, d, q) what is the decision when the Sigma2 and Adjusted R2 are not moving at the same direction. Consider the results below; Model 1: Significant Coefficient : 3 Sigma2 (volatility): 879.2982 Adjusted R2: 0.277531 AIC: 9.769049 SBIC: 9.910767 Model 2: Significant Coefficient : 3 Sigma2 (volatility): 855.7793 Adjusted R2: 0.296856 AIC: 9.754889 SBIC: 9.896608 Which one is a better combination, i mean, which one i should use? Thanks
Shaf, please "adapt" explanations. Not in my place to decide for you. I gave clear explanations on the criteria...please use them. You may need to watch the clip again. Thanks.
Hi thanks for the vidio but i have question. I see you remodelling from (1,1,8) in prev video and include the 12 because correlogram shows a not-flattened pattern, but why in the estimate in eviews u include ma (8) and ma (12) simultaneously? Can I just write the formula "c ar(1) ma(12)"? or still need to write "c ar(1) ma(8) ma(12)"?
Hi Pradipta, you may decide to follow my approach or do what you feel is right. You may also check other online resources for more information. Regards.
Hi Shriya, as detailed in econometric textbooks, articles and online resources there are several reasons for log transformation - to control for heteroscedasticity, outliers etc. Kindly read up, thanks.
thanx for the lecture I have one question that to check serial correlation in ARIMA model we need to check correlogram Q statistics or correlogram residual squared
Hello Madam. First off I would like to say thank you so much for making this video as it helps me for my thesis. A question though; my q statistics checks out fine but I'm having some trouble for my residual squared correlogram. All the probability is valued below 5% and lags 1 through 10 isn't flat. Any solutions for this madam?
Hi, lags 1 to 10 are outside their CIs may imply that you did not use the appropriate ARIMA model from onset. Those lags still contain some information left uncaptured.
Hi very informative madam can you please tell me how can i run or use AR(1)AR(12)MA(8),we use ARIMA (12,1,8)?how can i write two AR terms together .i use the R software .very greatful.
Dear mam, My AR terms are : 96, 192 and my MA terms are 84, 90, 96, 100 and 192 My best fit ARIMA model is (96,1,96) and I deliberately left the combinations with 192. When I ran the correlelogram of Q statistics for (96,1,96), I got significant values in 1, 4 for both ACF and PACF which is not at all there in my original AR and MA terms (AR terms are : 96, 192 and my MA terms are 84, 90, 96, 100 and 192 ). Now what should I do for Diagnostics mam? I should go for AR(96),MA(96),MA(192) and AR(96),AR(192),MA(96) ???? or I should proceed with the following combinations: AR(96),MA(96),MA(1) AR(96),AR(1),MA(1) AR(96),MA(96) , MA(4) AR(96),AR(4),MA(96) Please do help me mam. .
good evening sir, i am camara from malaysia. i actually have two problem to run the arima model: 1) i transformed my annually data to quaterlly but i still have problem to run it. 2) i used also my annually data for arima modeling but if i want to forecast, the eviews tells me to not put new year. To sum up, i followed all your step in order to run it but there is no way, please help me.... Thank you in advance
