Jacob Smith

9 Questions 3 Answers 0 Followers

Questions related from Jacob Smith

Can we rank markov matrices in stochastic order?

I am familiar with the concept of stochastic ordering for two random variables and how we can say if a markov matrix is stochastically monotone. What I'm interested in is if there is a concept for...

16 March 2022 1,287 3 View

Can we recover price information from expenditure data?

I'm interested in demand system estimation, however often times we only have expenditure data to work with. This is fine for estimating the linear expenditure system, however for for estimating...

01 May 2020 6,837 0 View

Why does the Solow Model matter for undergraduate students?

I've been looking at the economics undergraduate curriculum and have been thinking and wondering as to what specific skillset we want to equip undergraduate students with in the working world. One...

04 February 2020 5,579 47 View

ARIMA Model Selection: Using Visual Inspection of ACF and PACF or Information Criterion?

When first being exposed to methods of model selection in ARIMA class models, I was told that visual inspection of the ACF and PACF (when data is stationary) is satisfactory. However when...

26 January 2018 775 4 View

Using a VAR over a VECM (in spite of of existing cointegration)?

Is there ever a reason to use a first differenced VAR over a VECM when all your variables are I(1) and co integration exists? The reason why I ask is because I see in the most recent Bank of...

16 January 2018 8,249 3 View

Do ARIMA models have an theoretical interpretation in population forecasting?

ARIMA models, from what I know, are atheoretical models in the sense that they generally don't provide us with meaningful economic interpretation of why a process is behaving the way it...

26 November 2017 187 5 View

When can one use a non-stationary VAR validly?

In Chris Brooks book Introductory Econometrics for Finance on page 292 when discussing the problem with VARS he mentions. "... many proponents of the VAR approach recommend that differencing to...

15 November 2017 2,985 6 View

How many times does one have to difference data to uncover "true" correlation?

Im currently reading the foundation of modern time series analysis by Terrence C. Mills In the fourth chapter he discusses the concept of difference data to remove secular trend and the history...

13 November 2017 1,231 2 View

What are the alternatives to using ARIMA forecasting?

I've been dealing with mostly univariate time series data and am wondering what alternative models exist for forecasting instead of ARIMA, ARMA, AR and MA processes. I know about exponential...

06 November 2017 124 10 View