Devesh Kumar Pant

7 Questions 8 Answers 0 Followers

Questions related from Devesh Kumar Pant

Effect of Structural breaks on Forecasting ability of ARIMA, etc. in time series data?

Hi everyone, If structural breaks are present in time series data, then would it affect the forecasting ability of ARIMA, VECM etc. models? If yes, then how to solve this problem? Thank you.

01 February 2022 9,482 3 View

How to do Cointegration analysis in the presence of structural breaks?

Hi everyone, When there is non-stationarity in time series data due to structural breaks( more than 2 structrural breaks ) 1) then how to conduct Cointegration analysis and 2) will use of VECM...

01 February 2022 3,582 11 View

Volatility analysis in the presence of structural break?

Hi everyone, Will there be any impact of presence of structural breaks on conclusions derived from Volatility analysis using GARCH(1,1) Model in time series data. If yes then how to incorporate...

01 February 2022 8,904 3 View

How to identify the cointegrating relationship using Johansen-VECM Methodology in Eviews?

Hi everyone...my question is that ... How to put one variable as dependent variable in Johansen cointegration test, if all variables in the model can be endogenous. And how to identify the...

22 January 2022 1,681 5 View

How to choose between Granger causality in level, Granger causality/Block exogenity test and Granger causality test at first differences?

Selection between Granger causality in level, Granger causality/Block exogenity and Granger causality test at first differences? 1) If time series variables are non-stationary at level data, then...

22 January 2022 8,689 3 View

Cointegration between two time series with different order of integration (d>1)?

Hi everyone. The ARDL can be used when variables are of different order of intégration not greater than one!! if one variable is I(2) for instance, the ARDL is no longer suitable. Does anyoneby...

18 January 2022 8,595 5 View

Can i use ARIMA model with ARCH Effect for forecasting?

Hi, I am currently working on a research project which aims to develop a forecasting model for prices of agricultural commodities. I am mainly using ARIMA method for this purpose. If my ARIMA...

06 January 2022 4,717 6 View