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Re: st: A cry for help on ARMA with weak autocorrelation
From
Robert A Yaffee <[email protected]>
To
[email protected]
Subject
Re: st: A cry for help on ARMA with weak autocorrelation
Date
Wed, 05 May 2010 17:27:43 -0400
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 <[email protected]>
Date: Wednesday, May 5, 2010 2:50 pm
Subject: st: A cry for help on ARMA with weak autocorrelation
To: [email protected]
> 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
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> .019073
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> .0383449
> -.0062823
> .0268879
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> .0050945
> .0044184
> -.0026326
> -.0121818
> .0221472
> -.0393658
> -.0099735
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> 9.06e-06
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>
>
>
> *
> * 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:
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