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| From | Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: RE: st: A cry for help on ARMA with weak autocorrelation |
| Date | Fri, 7 May 2010 00:39:41 +0530 |
Dmytro, You can fit an ARMA and a GARCH equation simultaneously in Stata 11. ********************************* arch dmytro,arch(1) garch(1) ar(1) ma(1) ********************************* T 2010/5/7 Dmytro Andriychenko <dmytro@blueyonder.co.uk>: > Thank you ever so much again, > > Does it mean that I need to fit a suitable ARMA model first, save the > residuals and then fit garch model on the residuals? What I cannot > understand is how then I will be able to interpret any forecasts from garch- > the garch model will only forecast the variance of the residuals, not the > actual series? I am really puzzled with this... > > Please accept my apologies for taking your time with this, you are an > absolute lifesaver! > > Thank you, > > Kindest regards, > > Dmytro > > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Robert A Yaffee > Sent: Thursday, May 06, 2010 5:31 PM > To: statalist@hsphsun2.harvard.edu > Subject: Re: RE: st: A cry for help on ARMA with weak autocorrelation > > Dmytro, > The arch variance model is not robust to misspecification of the > mean model. That must be properly specified, as must the arma > components if significant. > - Cheers, > Robert > > Robert A. Yaffee, Ph.D. > Research Professor > Silver School of Social Work > New York University > > Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf > > CV: http://homepages.nyu.edu/~ray1/vita.pdf > > ----- Original Message ----- > From: Dmytro Andriychenko <dmytro@blueyonder.co.uk> > Date: Thursday, May 6, 2010 10:35 am > Subject: RE: st: A cry for help on ARMA with weak autocorrelation > To: statalist@hsphsun2.harvard.edu > > >> Thank you ever so much for the reply. I understand about the ARCH >> model, but why did you try to fit a linear regression model(I mean reg >> dmytro)? What does it do? >> >> Another thing: what is it that is sympthomatic of ARCH: is it the weak >> autocorrelation or just the pattern of actual values? >> >> May I also ask if it is appropriate to do ARCH on the actual values as >> they stand (say as opposed to residuals from another model)? >> >> Thanks again, >> >> Kindest regards, >> >> Dmytro >> >> >> >> >> -----Original Message----- >> From: owner-statalist@hsphsun2.harvard.edu >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Tirthankar >> Chakravarty >> Sent: Thursday, May 06, 2010 1:35 AM >> To: statalist@hsphsun2.harvard.edu >> Subject: Re: st: A cry for help on ARMA with weak autocorrelation >> >> This is symptomatic of GARCH effects: >> **************************************** >> clear* >> input dmytro >> .0070224 >> -.0397735 >> .0190506 >> .029408 >> -.0102329 >> end >> g id = _n >> tsset id >> tsline dmytro >> reg dmytro >> estat archlm, lags(1(1)10) >> arch dmytro, arch(1) garch(1) >> **************************************** >> >> T >> >> 2010/5/6 Robert A Yaffee <bob.yaffee@nyu.edu>: >> > Dmytro, >> > It sounds as if you have more noise than signal. If you cannot >> > decompose that into any signal, you may merely have white noise. >> > - Robert >> > >> > >> > Robert A. Yaffee, Ph.D. >> > Research Professor >> > Silver School of Social Work >> > New York University >> > >> > Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf >> > >> > CV: http://homepages.nyu.edu/~ray1/vita.pdf >> > >> > ----- Original Message ----- >> > From: Dmytro Andriychenko <dmytro@blueyonder.co.uk> >> > Date: Wednesday, May 5, 2010 2:50 pm >> > Subject: st: A cry for help on ARMA with weak autocorrelation >> > To: statalist@hsphsun2.harvard.edu >> > >> > >> >> Dear Statalist, >> >> >> >> I have been recently asked to fit a univariate model for a particular >> >> stationary time series. I thought ARMA will be the obvious choice, >> but >> >> when >> >> I looked at the autocorrelation within the series, I found that the >> first >> >> two lags are not significant and the few significant ones are only >> >> marginally so (see corrgram output below). >> >> >> >> I guess I can still do the estimates, but I am very much wondering >> if >> >> ARMA >> >> is appropriate modeling technique here. Is it even valid? Portmanteau >> >> statistics is not rejecting hypothesis of no autocorrelation and Q >> stats >> >> suggest marginal significance at lag 3,5 and 7 in the first series. >> >> >> >> The question is: is it even appropriate to be building ARMA in the >> >> light of >> >> such weak autocorrelation, especially that the first two lags are not >> >> significant? If ARMA is not appropriate, then what can it be? >> >> >> >> If anyone can help me with that, or better still point me towards a >> >> reference that would explain that, I would very much extremely > appreciate >> >> that. I have been reading books on econometrics for over a week, >> but still >> >> cannot conclusively answer the question. >> >> >> >> Thank you, >> >> >> >> Dmytro >> >> >> >> -1 0 1 -1 >> >> 0 >> >> 1 >> >> LAG AC PAC Q Prob>Q [Autocorrelation] [Partial >> >> Autocor] >> >> > ---------------------------------------------------------------------------- >> >> --- >> >> 1 -0.0516 -0.0516 1.3555 0.2443 | >> >> | >> >> >> >> 2 0.0574 0.0551 3.0348 0.2193 | >> >> | >> >> >> >> 3 -0.1253 -0.1209 11.062 0.0114 -| >> >> | >> >> >> >> 4 -0.0248 -0.0401 11.377 0.0226 | >> >> | >> >> >> >> 5 0.0887 0.1020 15.417 0.0087 | >> >> | >> >> >> >> 6 0.0809 0.0808 18.785 0.0045 | >> >> | >> >> >> >> 7 -0.1274 -0.1468 27.146 0.0003 -| >> -| >> >> >> >> 8 0.0455 0.0491 28.214 0.0004 | >> >> | >> >> >> >> 9 -0.0718 -0.0235 30.882 0.0003 | >> >> | >> >> >> >> 10 -0.0196 -0.0722 31.081 0.0006 | >> >> | >> >> >> >> 11 0.0029 -0.0091 31.085 0.0011 | >> >> | >> >> >> >> 12 -0.0930 -0.0818 35.588 0.0004 | >> >> | >> >> >> >> 13 0.1613 0.1684 49.154 0.0000 |- >> >> |- >> >> >> >> 14 -0.0064 -0.0050 49.176 0.0000 | >> >> | >> >> >> >> 15 0.0465 0.0277 50.305 0.0000 | >> >> | >> >> >> >> 16 0.0520 0.0951 51.726 0.0000 | >> >> | >> >> >> >> 17 -0.0261 -0.0090 52.084 0.0000 | >> >> | >> >> >> >> 18 0.0407 0.0249 52.955 0.0000 | >> >> | >> >> >> >> 19 0.0720 0.0485 55.692 0.0000 | >> >> | >> >> >> >> 20 -0.0093 0.0368 55.738 0.0000 | >> >> | >> >> >> >> 21 0.0882 0.0593 59.865 0.0000 | >> >> | >> >> >> >> 22 0.0209 0.0623 60.098 0.0000 | >> >> | >> >> >> >> 23 -0.0231 -0.0031 60.381 0.0000 | >> >> | >> >> >> >> 24 -0.0112 -0.0256 60.448 0.0001 | >> >> | >> >> >> >> 25 -0.0611 -0.0094 62.445 0.0000 | >> >> | >> >> >> >> 26 0.0820 0.0641 66.046 0.0000 | >> >> | >> >> >> >> 27 -0.0818 -0.1022 69.64 0.0000 | >> >> | >> >> >> >> 28 -0.0372 -0.0531 70.384 0.0000 | >> >> | >> >> >> >> 29 -0.0148 0.0117 70.503 0.0000 | >> >> | >> >> >> >> 30 -0.0195 -0.0182 70.708 0.0000 | >> >> | >> >> >> >> 31 0.0606 0.0384 72.693 0.0000 | >> >> | >> >> >> >> 32 0.0101 -0.0140 72.748 0.0001 | >> >> | >> >> >> >> 33 0.0248 0.0807 73.083 0.0001 | >> >> | >> >> >> >> 34 0.0049 -0.0336 73.096 0.0001 | >> >> | >> >> >> >> 35 -0.0110 -0.0529 73.162 0.0002 | >> >> | >> >> >> >> 36 -0.0420 -0.0467 74.129 0.0002 | >> >> | >> >> >> >> 37 0.0684 0.0485 76.693 0.0001 | >> >> | >> >> >> >> 38 0.0291 0.0632 77.159 0.0002 | >> >> | >> >> >> >> 39 0.0517 -0.0230 78.631 0.0002 | >> >> | >> >> >> >> 40 -0.0336 0.0225 79.255 0.0002 | >> >> | >> >> >> >> >> >> >> >> The values are: >> >> >> >> -.0090714 >> >> .0218658 >> >> -.0268755 >> >> .0024567 >> >> -.056356 >> >> .0046611 >> >> .0136881 >> >> -.0091224 >> >> .0054574 >> >> -.0334902 >> >> .0212493 >> >> .0597358 >> >> -.0207405 >> >> .0116024 >> >> -.01581 >> >> -.0096569 >> >> .0243721 >> >> -.0002346 >> >> -.0107546 >> >> -.0070105 >> >> .0029306 >> >> .0054045 >> >> .0222607 >> >> .0032482 >> >> .033515 >> >> -.0261011 >> >> -.0244341 >> >> -.0354443 >> >> .0121222 >> >> .0120258 >> >> -.0312228 >> >> .0112433 >> >> .0132771 >> >> .0068617 >> >> .0016813 >> >> .0044956 >> >> -.0182991 >> >> -.0232587 >> >> .0172067 >> >> -.0174499 >> >> -.0107841 >> >> .019073 >> >> -.0025773 >> >> -.0036931 >> >> .0090313 >> >> .0116596 >> >> -.0042143 >> >> -.01231 >> >> -.0116882 >> >> -.0226994 >> >> -.0131874 >> >> .007977 >> >> -.05966 >> >> -.0327191 >> >> .0383449 >> >> -.0062823 >> >> .0268879 >> >> .0207028 >> >> .0112748 >> >> -.0086665 >> >> .0050945 >> >> .0044184 >> >> -.0026326 >> >> -.0121818 >> >> .0221472 >> >> -.0393658 >> >> -.0099735 >> >> -.0052757 >> >> -.0292039 >> >> .0091033 >> >> -.0250168 >> >> -.0004563 >> >> .027513 >> >> -.021317 >> >> -.0123415 >> >> .0211291 >> >> -.0212989 >> >> -.0510502 >> >> -.0655146 >> >> -.079906 >> >> .0951033 >> >> .0257664 >> >> .0244412 >> >> -.0225444 >> >> .0309162 >> >> -.0119662 >> >> .026412 >> >> .0141501 >> >> .0005832 >> >> -.016212 >> >> .0151157 >> >> -.0394745 >> >> .0161915 >> >> .0154595 >> >> .0185943 >> >> -.0217462 >> >> -.0145679 >> >> .0094967 >> >> -.0019608 >> >> -.0120802 >> >> .0098996 >> >> -.0255461 >> >> .0237536 >> >> .0244961 >> >> .0004768 >> >> -.0053186 >> >> .0042987 >> >> -.0058708 >> >> -.0125189 >> >> .0147271 >> >> -.015285 >> >> .0082312 >> >> -.005342 >> >> .0082111 >> >> -.009253 >> >> -.01542 >> >> -.0301108 >> >> -.0584188 >> >> -.0084252 >> >> .0072241 >> >> -.0106797 >> >> -.0837865 >> >> -.0313945 >> >> -.0242662 >> >> .0136309 >> >> .0507717 >> >> .0040598 >> >> .0164299 >> >> -.0355163 >> >> -.0292273 >> >> -.0222354 >> >> -.0383153 >> >> .0077167 >> >> -.027843 >> >> .0302272 >> >> .043324 >> >> -.015892 >> >> -.0109243 >> >> .0109863 >> >> .0109072 >> >> .019958 >> >> -.0000401 >> >> -.0357337 >> >> -.0340881 >> >> .0012894 >> >> -.0131588 >> >> .0413365 >> >> -.0064459 >> >> -.0354757 >> >> -.0530305 >> >> -.0156755 >> >> .0089307 >> >> .0016389 >> >> .0281925 >> >> -.0176201 >> >> -.0430017 >> >> .0250711 >> >> .0661936 >> >> -.0374131 >> >> .0256433 >> >> .0016427 >> >> .0218129 >> >> -.0025196 >> >> .0220518 >> >> .0072665 >> >> .0238113 >> >> -.0167165 >> >> .018806 >> >> .0283427 >> >> -.0035315 >> >> .0055637 >> >> -.0215859 >> >> -.0089717 >> >> .0117569 >> >> .0052133 >> >> .0135822 >> >> -.0033212 >> >> .0096278 >> >> .0253091 >> >> -.0016627 >> >> -.0127578 >> >> .0227208 >> >> -.0063972 >> >> .006104 >> >> -.0260959 >> >> .0258164 >> >> .0116844 >> >> .0090237 >> >> -.0258517 >> >> .0119371 >> >> .0197902 >> >> .0026026 >> >> -.0191984 >> >> .0068007 >> >> .0063615 >> >> -.0058165 >> >> .0127311 >> >> .0071321 >> >> .0144997 >> >> -.0052276 >> >> .0084658 >> >> -.0059638 >> >> -.0135465 >> >> .0038967 >> >> .0044174 >> >> .0219884 >> >> -.0048823 >> >> .0122457 >> >> -.0176673 >> >> -.009655 >> >> -.0123987 >> >> .0232635 >> >> .004787 >> >> .0067487 >> >> .0085082 >> >> -.0185409 >> >> -.0008988 >> >> -.0144238 >> >> -.002049 >> >> .0013633 >> >> .0054221 >> >> .0073538 >> >> .0035315 >> >> .0001254 >> >> -.0163507 >> >> -.0059991 >> >> -.0107484 >> >> -.0047631 >> >> .0170636 >> >> -.0178342 >> >> -.0078974 >> >> .0154333 >> >> .0259404 >> >> .0131297 >> >> .0016165 >> >> .0096965 >> >> -.0041585 >> >> .0171118 >> >> .0085721 >> >> -.0161495 >> >> -.0008807 >> >> .0023966 >> >> .0251546 >> >> .0112433 >> >> -.0052514 >> >> -.0034738 >> >> .0024099 >> >> -.0090661 >> >> .0025158 >> >> .0200453 >> >> .0044689 >> >> .0076365 >> >> -.0037117 >> >> -.0016336 >> >> .0056829 >> >> .022727 >> >> .0188918 >> >> .0005565 >> >> -.0095177 >> >> .0065622 >> >> -.0097098 >> >> -.0106926 >> >> -.0022764 >> >> -.0008583 >> >> .0134516 >> >> -.0193677 >> >> -.008615 >> >> -.0148244 >> >> .0210567 >> >> -.0056529 >> >> .0173368 >> >> .0061102 >> >> .00454 >> >> .0065217 >> >> .0098181 >> >> -.0000982 >> >> .0154285 >> >> .0129695 >> >> -.00073 >> >> .0021348 >> >> .0089025 >> >> .0067787 >> >> .0054498 >> >> -.0059829 >> >> -.0127592 >> >> .0177407 >> >> .0060458 >> >> .0085001 >> >> .0001955 >> >> .0115237 >> >> -.021904 >> >> -.0161366 >> >> -.0252199 >> >> .0126491 >> >> .0416818 >> >> .0083432 >> >> .0076814 >> >> .006319 >> >> .0036798 >> >> -.0017376 >> >> .0038514 >> >> .0128078 >> >> .0041885 >> >> .0190792 >> >> -.0025673 >> >> -.0047374 >> >> .0207295 >> >> -.0031738 >> >> .0021157 >> >> .0141172 >> >> .0022464 >> >> -.0001411 >> >> .0059633 >> >> .0192223 >> >> .0063477 >> >> -.0110016 >> >> .0098848 >> >> -.0019283 >> >> .0168991 >> >> -.016264 >> >> .0130329 >> >> -.0294342 >> >> -.0474505 >> >> .0242586 >> >> -.004715 >> >> -.0229926 >> >> -.0079083 >> >> .0155926 >> >> .0242987 >> >> .0081582 >> >> -.0317149 >> >> .0022745 >> >> .0402284 >> >> -.0121889 >> >> -.0115776 >> >> .0160389 >> >> -.0036221 >> >> .013381 >> >> -.0112391 >> >> .0025024 >> >> -.0076647 >> >> .0229626 >> >> .0084715 >> >> .0246611 >> >> -.000844 >> >> .0007362 >> >> -.0011082 >> >> .0119686 >> >> -.0007591 >> >> -.0114279 >> >> -.0122776 >> >> .0217314 >> >> .016614 >> >> -.0089483 >> >> .0057192 >> >> .000289 >> >> .0015287 >> >> .0005388 >> >> -.0017853 >> >> .0141611 >> >> .0119972 >> >> .0053654 >> >> -.0015335 >> >> -.0459242 >> >> .0222826 >> >> -.0173922 >> >> .0336294 >> >> -.004158 >> >> .0146761 >> >> .0085745 >> >> .0027933 >> >> -.0084667 >> >> .0272865 >> >> -.0069933 >> >> .0115929 >> >> -.0105085 >> >> .0153751 >> >> -.0298243 >> >> .0334148 >> >> -.025835 >> >> .0040855 >> >> .0145779 >> >> .0039845 >> >> -.0174904 >> >> -.0595789 >> >> .0040874 >> >> -.0296612 >> >> -.0002079 >> >> .0253992 >> >> .0157719 >> >> -.0175371 >> >> .0108528 >> >> .0232458 >> >> .0005913 >> >> .0209351 >> >> .0197239 >> >> -.0291605 >> >> .0194979 >> >> -.0176277 >> >> -.0376501 >> >> -.0035934 >> >> -.0084867 >> >> .0254431 >> >> .0140886 >> >> -.0237761 >> >> .0064907 >> >> .0073729 >> >> -.0218363 >> >> -.0263119 >> >> -.0443525 >> >> -.0044308 >> >> .0287313 >> >> -.0400453 >> >> .0019059 >> >> .0169611 >> >> .0000362 >> >> -.0302677 >> >> -.0127449 >> >> -.0253201 >> >> .037117 >> >> .0400047 >> >> -.0103674 >> >> .0268259 >> >> .0023079 >> >> .0210543 >> >> .0002432 >> >> .0138454 >> >> -.0347366 >> >> -.0052414 >> >> -.0239954 >> >> -.0180578 >> >> -.0313873 >> >> -.018117 >> >> -.0275869 >> >> -.0278697 >> >> .0277452 >> >> -.0048842 >> >> .0003047 >> >> .0267324 >> >> -.0051508 >> >> .0073652 >> >> .0230937 >> >> -.0676994 >> >> .027998 >> >> -.0175819 >> >> -.0480194 >> >> -.0234528 >> >> -.2254887 >> >> .0186381 >> >> -.050343 >> >> .1131096 >> >> .0031643 >> >> -.0352201 >> >> -.1120925 >> >> .1211257 >> >> -.0579996 >> >> .0575261 >> >> .0037999 >> >> -.0139828 >> >> .0747881 >> >> -.0212183 >> >> -.0686975 >> >> -.0238781 >> >> .0235171 >> >> .0349255 >> >> -.021409 >> >> -.0750003 >> >> -.0129738 >> >> -.0756612 >> >> .0597296 >> >> .0227227 >> >> .0146079 >> >> .0395327 >> >> -.0081658 >> >> .0301604 >> >> .0145698 >> >> .0219765 >> >> .0479522 >> >> -.0284438 >> >> .0047235 >> >> .0110078 >> >> .0070996 >> >> 9.06e-06 >> >> -.0253553 >> >> -.0203786 >> >> -.0011497 >> >> -.0259624 >> >> .059896 >> >> .0423455 >> >> .0072837 >> >> .0299325 >> >> -.0012712 >> >> .0270276 >> >> .0129409 >> >> -.0113106 >> >> .0352964 >> >> .0290713 >> >> -.0188484 >> >> -.0181832 >> >> .0361772 >> >> .0055947 >> >> .0070224 >> >> -.0397735 >> >> .0190506 >> >> .029408 >> >> -.0102329 >> >> >> >> >> >> >> >> * >> >> * For searches and help try: >> >> * http://www.stata.com/help.cgi?search >> >> * http://www.stata.com/support/statalist/faq >> >> * http://www.ats.ucla.edu/stat/stata/ >> > * >> > * For searches and help try: >> > * http://www.stata.com/help.cgi?search >> > * http://www.stata.com/support/statalist/faq >> > * http://www.ats.ucla.edu/stat/stata/ >> > >> >> >> >> -- >> To every ω-consistent recursive class κ of formulae there correspond >> recursive class signs r, such that neither v Gen r nor Neg(v Gen r) >> belongs to Flg(κ) (where v is the free variable of r). >> >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ >> >> >> >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- To every ω-consistent recursive class κ of formulae there correspond recursive class signs r, such that neither v Gen r nor Neg(v Gen r) belongs to Flg(κ) (where v is the free variable of r). * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/