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Econometric Model - MATLAB

The document summarizes the results of time series analysis on the sales1 time series data. [1] It plots the raw sales1 data and performs an Augmented Dickey-Fuller test, failing to reject the null hypothesis that the data contains a unit root. [2] It then takes the seasonal difference of sales1 and plots it, before [3] taking the difference of that seasonal differenced series and plotting and testing it, rejecting the null hypothesis that this final series contains a unit root, indicating the data is now stationary.

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Omi
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39 views8 pages

Econometric Model - MATLAB

The document summarizes the results of time series analysis on the sales1 time series data. [1] It plots the raw sales1 data and performs an Augmented Dickey-Fuller test, failing to reject the null hypothesis that the data contains a unit root. [2] It then takes the seasonal difference of sales1 and plots it, before [3] taking the difference of that seasonal differenced series and plotting and testing it, rejecting the null hypothesis that this final series contains a unit root, indicating the data is now stationary.

Uploaded by

Omi
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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. Augmented Dickey-Fuller Test ....................................................................................................... 3
2. Time Series: sales1SeasonalDiff................................................................................................................. 4
2.1. Time Series Plot ............................................................................................................................... 4
3. Time Series: sales1SeasonalDiffDiff .......................................................................................................... 5
3.1. Time Series Plot ............................................................................................................................... 5
3.2. Augmented Dickey-Fuller Test ....................................................................................................... 6

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

Time Series Plot


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sales1
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Index

Figure 1.1. Time Series Plot of sales1

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1. Time Series: sales1

1.2. 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


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sales1SeasonalDiff

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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


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sales1SeasonalDiffDiff
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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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