Time Series

What is meant by dynamic model? Explain how the following model can be estimated? 𝑦𝑡 =∝ +𝛽𝑥𝑡 + 𝛾𝑦𝑡−1 + 𝑢𝑡 where |𝛾| < 1 and 𝑢𝑡 = 𝜌 𝑢𝑡−1+ 𝜀𝑡

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Introduction In econometrics, a dynamic model is one that includes lagged values of the dependent or independent variables. These models are particularly useful when analyzing time series data where past events influence current outcomes. Dynamic models are essential for studying the adjustment process and persistence over time. What is a Dynamic Model? A dynamic model […]

What is meant by dynamic model? Explain how the following model can be estimated? 𝑦𝑡 =∝ +𝛽𝑥𝑡 + 𝛾𝑦𝑡−1 + 𝑢𝑡 where |𝛾| < 1 and 𝑢𝑡 = 𝜌 𝑢𝑡−1+ 𝜀𝑡 Read More »

Distinguish between weak stationarity and strong stationarity. Explain the methods of testing for stationarity in a univariate time series model.

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Introduction Stationarity is a fundamental concept in time series analysis. A stationary time series is one whose properties do not depend on the time at which the series is observed. In econometrics, stationarity ensures that the statistical inferences made about the model are valid. There are two main types of stationarity: weak stationarity and strong

Distinguish between weak stationarity and strong stationarity. Explain the methods of testing for stationarity in a univariate time series model. Read More »

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