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Time Series Analysis Methodology Overview by Rica Deguzman is a document available to read on EtoBox.
What is Time Series Analysis Methodology Overview about?
This document outlines the methodology used in a research paper. It involved 3 steps: (1) testing the stationarity of the data using ADF and Phillips-Perron tests; (2) analyzing causal relationships between variables using Granger causality tests; (3) estimating long-run relationships between variables using a Vector Autoregression (VAR) model. The last step was to test for cointegration between variables using the Johansen-Juselius approach to determine if long-term correlations exist.
- Author
- Rica Deguzman
- Language
- EN