Articles by Steven Sabol

Monetary Policy & Credit Easing pt. 8: Econometrics Tests in R

January 2, 2012 |

Hello, folks its time to cover some important econometrics tests you can do in R.The Akaike information criterion is a measure of the relative goodness of fit of a statistical model.  If you have 10 models and order them by AIC, the... [Read more...]

Monetary Policy & Credit Easing pt. 7: R Econometrics Tests

January 1, 2012 |

In post 6 we introduced some econometrics code that will help those working with time-series to gain asymptoticly efficient results.  In this post we look at the different commands and libraries necessary for testing our assumptions and such. Testing our Assumptions and Meeting the Gauss-Markov TheoremIn this section we will seek ... [Read more...]

Monetary Policy and Credit Easing pt. 6: Empirical Estimation and Methodology

December 30, 2011 |

IT is now appropriate to lay out our two regression models in full for empirical estimation over our two separate time periods. The first estimation is from 4/1/71 to 7/1/97 and the second is from 4/1/01 to 4/1/11. The methodology employed in the estimation of these two models is a procedure using Generalized Least ... [Read more...]

Monetary Policy and Credit Easing

December 26, 2011 |

Here at the dancing economist, we wish to educate our followers on the finer points of economics and this includes econometrics and using R. R as mentioned previously is a free statistical software that enables regular people like us to do high end eco... [Read more...]

Ladies and Gents: GDP has finally gotten its long awaited forecast

September 4, 2011 |

Today we will be finally creating our long awaited GDP forecast.  In order to create this forecast we have to combine both the forecast from our deterministic trend model and the forecast from our de-trended GDP model. Our model for the trend is:t... [Read more...]

Assessing the Forecasting Ability of Our Model

September 2, 2011 |

Today we wish to see how our model would have faired forecasting the past 20 values of GDP. Why? Well ask yourself this: How can you know where your going, if you don't know where you've been? Once you understand please proceed on with the following post.First recall the trend ... [Read more...]

Forecasting In R: A New Hope with AR(10)

September 1, 2011 |

In our last post we determined that the ARIMA(2,2,2) model was just plain not going to work for us.  Although i didn't show its residuals failed to pass the acf and pacf test for white noise and the mean of its residuals was greater than three whe... [Read more...]

Story of the Ljung-Box Blues: Progress Not Perfection

August 31, 2011 |

In the last post we determined that our ARIMA(2,2,2) model failed to pass the Ljung-Box test.  In todays post we seek to completely discredit the last posts claim and finally arrive at some needed closure. The Ljung-Box is first performed on the s...

Forecasting In R: The Greatest Shortcut That Failed The Ljung-Box

August 27, 2011 |

Okay so you want to forecast in R, but don't want to manually find the best model and go through the drudgery of plotting and so on.  I have recently found the perfect function for you.  Its called auto.arima and it automatically fits the bes...

Forecasting in R: Modeling GDP and dealing with trend.

August 25, 2011 |

Okay so we want to forecast GDP. How do we even begin such a burdensome ordeal?Well each time series has 4 components that we wish to deal with and those are seasonality, trend, cyclicality and error.  If we deal with seasonally adjusted data we d...

Forecasting in R: Starting From Square One

August 16, 2011 |

Okay in the past few posts I jumped the gun a little bit.  Errors I made include rushing everything, not explaining anything and not giving my blog readers the love and respect they deserve.  What am I talking about? Well before we do anythin...

Breaking it up into trend and seasonal and error components

August 14, 2011 |

GDP=scan("/Users/stevensabol/Desktop/R/gdp.csv")Read 258 items__ GDP=ts(GDP,start=1,frequency=4)__ dlGDP=diff(log(GDP))__ plot(stl(log(GDP),"per"))This allows us to do a structural decompositionlog(GDP) = trend + season + error Here is...

Get those plots

August 14, 2011 |

Type in the following to get a Q-Q plot and a histogram on top of each otherpar(mfrow=c(2,1))__ hist(dlGDP,prob=T,12)__ lines(density(dlGDP))__ qqnorm(dlGDP)__ qqline(dlGDP)the top graph says that the errors are pretty nicely distributed around...

Playing In R: Getting Down to Business

August 14, 2011 |

okay so now we are up and plotting. Let's dive into some analysis.First we want to see if we can use the series so we have to see if its covariance stationary and that means that its mean is constant and also we can't be able to predict the ...

Playing Around With R

August 14, 2011 |

okay so today we will start playing around with R and will use GDP as our ginny pig.okay so first do the following:1. DOWNLOAD R2. Create a folder and call it "R" on your desktop.  Then type ingetwd()this will produce the current place where R fin...

The Dancing Economist’s content will be statistically enhanced.

August 13, 2011 |

Recently, I have been fed up. Why? because I wanted to produce professional forecasts on my blog but don't have SAS. I wanted to forecast with some AR, ARMA and ARIMA models, but couldn't. Completely heartbroken. I got to thinking-  R co...

Informational Easing: A Change In F.O.M.C. Expectations

August 10, 2011 |

Let's analyze the latest FOMC policy move.The FOMC met yesterday and changed up the communications strategy.  How so? Well, until yesterday the statement has been saying as of June 22, 2011:"The Committee continues to anticipat...

July 29, 2011 |

Okay so here is what has been happening:The yield curve has been going through a mad flattening- indicating that investors are "flying to safety" and that a recession may be looming around the corner. Why has it been flattening? Well, a string of bad n...

The Road To Default: Still No Agreement

July 25, 2011 |

Another day and yet another failed agreement. The u.s. Is in trouble folks. Even if a debt deal is reached there is still widespread consensus that the u.s. will lose its AAA credit rating. More to come later.Keep dancin'Steven J.