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by HTTrader
Thu Jul 12, 2012 11:00 am
Forum: Econometric Discussions
Topic: Additional variable makes AR term insignificant
Replies: 0
Views: 1797

Additional variable makes AR term insignificant

Hi, I'm building a model for forecasting that is looking good. I was going to introduce one extra term, a term that accounts for customers receiving deposits throughout the year which can contributes to outflows, the dependent variable in my model. It is zero for most observations, but can be signif...
by HTTrader
Tue Jul 10, 2012 12:55 pm
Forum: Econometric Discussions
Topic: Is my ARMAX model legit?
Replies: 3
Views: 4518

Re: Is my ARMAX model legit?

Well I really need help on this. I cannot figure out how to do out-of-sample forecasts. By an out-of-sample forecast I mean not using any observations past the sample period, and instead specifying my own forecasts for the explanatory variables (for the 3-month forecasts I want to do, this is only n...
by HTTrader
Tue Jul 10, 2012 10:39 am
Forum: Econometric Discussions
Topic: Is my ARMAX model legit?
Replies: 3
Views: 4518

Is my ARMAX model legit?

Hi, I have a task where I'll be modelling outflow in a savings product with respect to a number of explanatory variables through time. I went with an OLS-ARMA approach. There is autocorrelation in the errors, an AR(1) term was able to account for it. Furthermore, a number of these explanatory variab...

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