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MATLAB Econometric Model Forecasting

The document summarizes the results of time series analysis on the sales1 dataset using econometric modeling. It finds that the original sales1 time series contains a unit root, but after taking first seasonal differences (sales1SeasonalDiff) and then first-order differences (sales1SeasonalDiffDiff), the transformed time series is stationary as the null hypothesis of a unit root is rejected according to the Augmented Dickey-Fuller test statistics. Plots and autocorrelation functions are provided for each transformed time series.

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Omi
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52 views

MATLAB Econometric Model Forecasting

The document summarizes the results of time series analysis on the sales1 dataset using econometric modeling. It finds that the original sales1 time series contains a unit root, but after taking first seasonal differences (sales1SeasonalDiff) and then first-order differences (sales1SeasonalDiffDiff), the transformed time series is stationary as the null hypothesis of a unit root is rejected according to the Augmented Dickey-Fuller test statistics. Plots and autocorrelation functions are provided for each transformed time series.

Uploaded by

Omi
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Econometric Modeler Analysis

Summary of results from the Econometric


Modeler App
Econometrics Toolbox Version 5.6 (R2021a)

14-Aug-2021
Table of Contents
1. Time Series: sales1 ...................................................................................................................................... 2
1.1. Time Series Plot ............................................................................................................................... 2
1.2. Sample Autocorrelation Function.................................................................................................. 3
1.3. Sample Partial Autocorrelation Function...................................................................................... 4
1.4. Augmented Dickey-Fuller Test ....................................................................................................... 5
2. Time Series: sales1SeasonalDiff................................................................................................................. 6
2.1. Time Series Plot ............................................................................................................................... 6
3. Time Series: sales1SeasonalDiffDiff .......................................................................................................... 7
3.1. Time Series Plot ............................................................................................................................... 7
3.2. Augmented Dickey-Fuller Test ....................................................................................................... 8

i
1. Time Series: sales1
1.1. Time Series Plot

Time Series Plot


1100
sales1
1000

900

800

700

600

500

400

300

200
10 20 30 40 50 60 70 80 90 100 110 120
Index

Figure 1.1. Time Series Plot of sales1

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1. Time Series: sales1

1.2. Sample Autocorrelation Function

Sample Autocorrelation Function


1
sales1
Confidence Bounds

0.8

0.6
Sample Autocorrelation

0.4

0.2

-0.2
0 5 10 15 20 25 30 35 40
Lag

Figure 1.2. Sample autocorrelation function of sales1

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1. Time Series: sales1

1.3. Sample Partial Autocorrelation Function

Sample Partial Autocorrelation Function


1
sales1
Confidence Bounds

0.8
Sample Partial Autocorrelation

0.6

0.4

0.2

-0.2
0 5 10 15 20 25 30 35
Lag

Figure 1.3. Sample partial autocorrelation function of sales1

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1. Time Series: sales1

1.4. Augmented Dickey-Fuller Test


Null Hypothesis: sales1 contains a unit root

Table 1.1. Test Parameters


Lags Model Test Statistic Significance Level
1 0 AR t1 0.05

Table 1.2. Test Results


Null Rejected P-Value Test Statistic Critical Value
1 false 0.2363 -1.13 -1.9437

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2. Time Series: sales1SeasonalDiff
2.1. Time Series Plot

Time Series Plot


200
sales1SeasonalDiff

150

100

50

-50

-100
10 20 30 40 50 60 70 80 90 100 110 120
Index

Figure 2.1. Time Series Plot of sales1SeasonalDiff

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3. Time Series: sales1SeasonalDiffDiff
Time series sales1SeasonalDiffDiff is the first-order difference of time series
sales1SeasonalDiff.

3.1. Time Series Plot

Time Series Plot


250
sales1SeasonalDiffDiff
200

150

100

50

-50

-100

-150

-200
10 20 30 40 50 60 70 80 90 100 110 120
Index

Figure 3.1. Time Series Plot of sales1SeasonalDiffDiff

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3. Time Series: sales1SeasonalDiffDiff

3.2. Augmented Dickey-Fuller Test


Null Hypothesis: sales1SeasonalDiffDiff contains a unit root

Table 3.1. Test Parameters


Lags Model Test Statistic Significance Level
1 0 AR t1 0.05

Table 3.2. Test Results


Null Rejected P-Value Test Statistic Critical Value
1 true 0.001 -19.0973 -1.9442

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3. Time Series: sales1SeasonalDiffDiff

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