I want to analyse the persistency of variable x in the future values of x. My dataset is of a single variable, say x, from 2002 to 2021. So I want to check the persistence of x in 2002 to it's value in 2021 ie how much percent of x2002 persist till 2021
Ehtisham Lodhi
Dear Atul Anand Jha :
A persistent series is one where the value of the variable at a certain date is closely related to the previous value. The two basic measures of persistence are the autocovariance and the autocorrelation coefficient. Please have a look at following links for further study about persistence in time series data:
- https://www.r-bloggers.com/2012/07/measuring-persistence-in-a-time-series-application-of-rolling-window-regression/
- https://discuss.streamlit.io/t/persistence-of-a-single-variable/7215
- https://donskerclass.github.io/EconometricsII/TimeSeriesNonstationarity.html
Best regards;
Ehtisham
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