Hi, glad to hear you liked it. I will add that suggestion to my list! Thanks, Ben
@tonyfang4970 Жыл бұрын
Sketched the same thing in Python, hope it helps! import numpy as np import pandas as pd import matplotlib import matplotlib.pyplot as plt # define each datapoint as a normal r.v. def generate_datapoint(params): mu = params[0] sigma = params[1] return np.random.normal(mu,sigma) # Set the number of datapoints T = 100 B = pd.Series(index=range(T)) B.name = 'B' for t in range(T): # Now the parameters are dependent on time # Specifically, the mean of the series changes over time params = (t * 0.1, 1) B[t] = generate_datapoint(params) plt.plot(B) plt.xlabel('Time') plt.ylabel('Value') plt.legend(['Series B']);
@JesseMaurais10 жыл бұрын
I just mocked up a similar simulation in R, but I animated it, increasing rho by 0.01 from 0 to 1 in each frame, at 2 frames per second, using the same white noise data. Watching how the data changes makes a lot more sense now. Thanks for the videos.
@SpartacanUsuals10 жыл бұрын
Hi Jesse, many thanks for your comment and effort reproducing the above in R. Would you mind sharing it below here? I think some people would potentially be interested to reproduce above in R. Best, Ben
@JesseMaurais10 жыл бұрын
z = rnorm(1000) gen = function(rho) { x = numeric(length(z)) x[1] = z[1] for (i in 2:length(z)) { x[i] = rho*x[i-1] + z[i] } x } display = function(rho) { x = gen(rho) plot(x, main=as.character(rho)) lines(x) } for (it in 1:100) { display(it/100) Sys.sleep(0.5) }
@SpartacanUsuals10 жыл бұрын
Jesse Maurais That's great. Many thanks for this! Am sure it will be useful. Best, Ben
@IanBorgessen6 жыл бұрын
Thanks!
@tonyfang4970 Жыл бұрын
@@SpartacanUsuals Sketched the same thing in Python, hope it helps! import numpy as np import pandas as pd import matplotlib import matplotlib.pyplot as plt # define each datapoint as a normal r.v. def generate_datapoint(params): mu = params[0] sigma = params[1] return np.random.normal(mu,sigma) # Set the number of datapoints T = 100 B = pd.Series(index=range(T)) B.name = 'B' for t in range(T): # Now the parameters are dependent on time # Specifically, the mean of the series changes over time params = (t * 0.1, 1) B[t] = generate_datapoint(params) plt.plot(B) plt.xlabel('Time') plt.ylabel('Value') plt.legend(['Series B']);
@debashisbanerjee2602 жыл бұрын
Amazingly explained. Probably the best video on this topic on internet.
@asadkhanbb5 жыл бұрын
@Ben Lambert, I got addicted to your videos on Econometrics. Thanks
@alvise21654 жыл бұрын
GREAT Explanation! now is all more clear!
@MrScattterbrain4 жыл бұрын
Ben, thank you so much for these videos on time series. And, in particular, for this one. This answered all little confusions and doubts that I used to have.
@harshitnarula8449 Жыл бұрын
Wow this is really helpful..ive been really strugling with econometrics at uni..but these videos are so well explained! Thanks so much..Cheers!
@luistato74374 жыл бұрын
Ben, you are absolutely mental. I really appreciate this, thanks so much!
@ThuHuongHaThi3 жыл бұрын
I basically understand this as: the closer rho is towards 1, the more time it takes for the time series to return to its mean
@elfadlaouielfadel9326 жыл бұрын
you have explained this course very well.thank you very much.
@ljw14199 жыл бұрын
Really helps, best Time Series Econometrics videos on youtube, thanks !
@Hatorye5 жыл бұрын
Yet another amazing video. Thanks, Benny
@Konzor9 жыл бұрын
hey ben, Very helpful videos! Thanks for that! But i got a question: is there any playlist which cover the hole time series stuff? Can't find a playlist/course on you channel.
@schnickerfritzel8 жыл бұрын
Hi Ben! thank you for posting this video, helps me clear up my confusion :) Although I do wanna clarify one thing: so does this mean that non stationary AR(1) process is synonymous with random walk process? and it also follows a unit root?
@hedgehog_fox7 жыл бұрын
Great Matlab demo!
@arthvini02 Жыл бұрын
Thanks a lot for this video!
@johncharles39076 жыл бұрын
Can you explain the math again very slowly and clearly? :) Good illustrations!
@rupikakhanna30611 жыл бұрын
It was a very useful video for starters. I was wondering if you could post something on ADF and (weak form) stock market efficiency tests.
@saulmirandaaliaga6 жыл бұрын
Love your videos, mate! Thank you so much!
@pedroluque73717 жыл бұрын
Hi Ben, thanks for your videos!
@neodrone19 жыл бұрын
Great explanation. Thanks!
@alexlo63936 жыл бұрын
this is a great video!
@MootBoogie5 жыл бұрын
what is Rho in this context? like how is it defined? wow this makes so much sense now, thanks!
@zurzakne-etra7069 Жыл бұрын
think it's called the autoregressive coefficient...
@Sam-gn6og5 жыл бұрын
The explanation of the ARX model you gave is very simplistic, would make a Control Engineer cringe. There is a mathematical stability theory behind the difference equations of the parametric models (ARX.....ARIMAX) Econometrists hardly know about
@Sam-gn6og5 жыл бұрын
@Peripo They do...if their analysis is to be taken seriously.
@alexgold4327 жыл бұрын
Very good video. The et in the non stationary equation is IID as is the case with the stationary one?
@nancyaliaga70796 жыл бұрын
You legend! Thank you very much for all your videos!
@javierromera19974 жыл бұрын
Thank you Ben
@mamadoudiaby44743 жыл бұрын
Hello sir, I am studing the debt sustainability of WAEMU countries. It is said in littterature that when dependent variable which is primary surplus and independent variable which is debt are both stationary this mean that there is sustainability. In my case both are not stationary and this signals unsustainability of debt. For my GLS regression I am wondering wether I should take those variables in level or differenced them first? Thanks
@volkanky4 жыл бұрын
I have a question please help me ; I have a export data but ı reach the trend stationary process, so can I use this data for VAR analysis? how can I transform the trend stationary process to sationary process
@shreyajain80287 жыл бұрын
If there are 2independent and 1 dependent variable in a regression and DF test needs to be applied and the significance of the two independent variables is 0 and for dependent variable it is 0.1156. Which of the variables are having unit roots?
@kpatel3069 жыл бұрын
Hi Ben Thanks a lot fort this video. I have a query related to statiority test - do we required series to be stationary while doing the linear regression forecasting? e.g. forecasting based on economic variables. Thanks KP
@becoruthia10 жыл бұрын
Thank you, explained a lot.
@jacinthdavid11228 жыл бұрын
Can someone explain how we got the conditional means for AR(1) process? Really confused about that.
@Institute.research5 жыл бұрын
need answer if some variables are at level and others are the first difference so what I can do so can go at first difference or at level and how the equation will
@oscarlu99194 жыл бұрын
I think 4:28-4:41 is some kind of intuition to understand the magnitude of p
@louisbatalha89125 жыл бұрын
That is great Sir
@youngbin02006 жыл бұрын
You re just amazing
@graceliao59786 жыл бұрын
you're the best
@justinlundgren506 жыл бұрын
Brilliant! Thanks!
@dudeB154 жыл бұрын
thank you ben
@gabriellegall82787 жыл бұрын
thank you so much
@Albert-cs1uh11 жыл бұрын
really helpfull!
@AngshumanPalKolkata3134 жыл бұрын
You started with X(0) = 0?
@tempvariable5 жыл бұрын
thanks
@larsahnlandnordfors91708 жыл бұрын
What is rho?
@urabi3tube8 жыл бұрын
I have a question it might be silly but it's very important, why when we analyse time series we use AR model or MA Arima in others words why we use the lagged values as explanatory variables??? please be advice :)
@nabeelsyed52287 жыл бұрын
Hey Ben i have an exam next wednesday, its basically a stats exam and i have no idea what is going on in it, my prof doesnt know how to teach and i was hoping you could help me out please respond, my exam is covering a couple chapters, ill send u the topic when i get my textbook