I'm really struggling with this problem.
Suppose I want to forecast 2022Q3 GDP using a monthly variable for industrial production (let´s call it IP), the first lag of GDP and a constant with MIDAS. Now, let's consider that I'm in July/22 and have the value for the July/22 IP, and I want to forecast my 2022Q3 GDP using all data for IP until July/22 (consider a sample from 2010Q1-2022Q2 for GDP and 2010M1-2022M7 for IP). Considering that, my idea was to use two lags of IP in my Midas estimation. In the next month, with the August/22 IP in hand, I would reduce lag structure to one and so on.
In Eviews, we can can estimate the equation below without problem for the sample 2010Q1-2022Q2:
equation eq_umid.midas(midwgt=umidas, fixedlag=12) gdp c gdp(-1) # monthly\IP(-2)
The problem is when I try to forecast the GDP for 2022Q3. I receive a message: "Unable to compute due to missing data". But this make no sense to me, given that I have all data that I need with the IP with two lags.
I don't know if anyone has ever faced a similar problem, but I would really appreciate some help.
Thank you very much.
Related
I have prepared a time series model using FB Prophet for making forecasts. The model forecasts for the coming 30 days and my data ranges from Jan 2019 until Mar 2020 both months inclusive with all the dates filled in. The model has been built specifically for the UK market
I have already taken care of the following:
Seasonality
Holidaying Effect
My question is, that how do I take care of the current COVID-19 situation into the same model? The cases that I am trying to forecast are also dependent on the previous data at least from Jan 2020. So in order to forecast I need to take into account the current coronavirus situation as well that would impact my forecasts apart from seasonality and holidaying effect.
How should I achieve this?
Haven't tried it but one thing I have in mind is to add covid-19 as a one-time holiday. You can see an example for adding a one-time promo as a pseudo-holiday in the following link: https://towardsdatascience.com/forecasting-in-python-with-facebook-prophet-29810eb57e66
I assume that it can be applied to a negative effect, caudes by covid-19,
I have had the same issue with COVID at my work with sales forecasting. The easy solution for me was to make an additional regressor which indicates the COVID period, and use that in my model. Then my future is not affected by COVID, unless I tell it that it should be.
I am stuck in a statistics assignment, and would really appreciate some qualified help.
We have been given a data set and are then asked to find the 10% with the lowest rate of profit, in order to decide what Profit rate is the maximum in order to be considered for a program.
the data has:
Mean = 3,61
St. dev. = 8,38
I am thinking that i need to find the 10th percentile, and if i run the percentile function in excel it returns -4,71.
However I tried to run the numbers by hand using the z-score.
where z = -1,28
z=(x-μ)/σ
Solving for x
x= μ + z σ
x=3,61+(-1,28*8,38)=-7,116
My question is which of the two methods is the right one? if any at all.
I am thoroughly confused at this point, hope someone has the time to help.
Thank you
This is the assignment btw:
"The Danish government introduces a program for economic growth and will
help the 10 percent of the rms with the lowest rate of pro t. What rate
of pro t is the maximum in order to be considered for the program given
the mean and standard deviation found above and assuming that the data
is normally distributed?"
The excel formula is giving the actual, empirical 10th percentile value of your sample
If the data you have includes all possible instances of whatever you’re trying to measure, then go ahead and use that.
If you’re sampling from a population and your sample size is small, use a t distribution or increase your sample size. If your sample size is healthy and your data are normally distributed, use z scores.
Short story is the different outcomes suggest the data you’ve supplied are not normally distributed.
I ran an impulse response analysis on a value weighted stock index and a few variables in python and got the following results:
I am not sure how to interpret these results.
Can anyone please help me out?
You might want to check the book "New introduction to Multiple Time Series Analysis" by Helmut Lutkepohl, 2005, for a slightly dense theory about the method.
In the meantime, a simple way you can interpret your plots is, let's say your variables are VW, SP500, oil, uts, prod, cpi, n3 and usd. They all are parts of the same system; what the impulse response analysis does is, try to assess how much one variable impacts another one independently of the other variables. Therefore, it is a pairwise shock from one variable to another. Your first plot is VW -> VW, this is pretty much an autocorrelation plot. Now, look at the other plots: apparently, SP500 exerts a maximum impact on VW (you can see a peak in the blue line reaching 0.25. The y-axis is given in standard deviations and x-axis in lag-periods. So in your example, SP500 cause a 0.25 change in VW at the lag of whatever is in your x-axis (I can't see from your figure). Similarly, you can see n3 negatively impacting VW at a given period.
There is an interesting link that you probably know and shows an example of the application of Python statsmodels VAR for Impulse Response analysis
I used this method to assess how one variable impact another in a plant-water-atmosphere system, there are some explanations there and also the interpretation of similar plots, take a look:
Use of remote sensing indicators to assess effects of drought and human-induced land degradation on ecosystem health in Northeastern Brazil
Good luck!
Suppose you have a set of transcribed customer service calls between customers and human agents, where on average each call's length is 7 minutes. Customers will mostly call because of issues they have with the product. Let's assume that a human can assign one label per axis per call:
Axis 1: What was the problem from the customer's perspective?
Axis 2: What was the problem from the agent's perspective?
Axis 3: Could the agent resolve the customer's issue?
Based on the manually labeled texts you want to train a text classifier that shall predict a label for each call for each of the three axes. But the labeling of recordings takes time and costs money. On the other hand you need a certain amount of training data to get good prediction results.
Given the above assumptions, how many manually labeled training texts would you start with? And how do you know that you need more labeled training texts?
Maybe you've worked on a similar task before and can give some advice.
UPDATE (2018-01-19): There's no right or wrong answer to my question. Ok, ideally, somebody worked on exactly the same task, but that's very unlikely. I'll leave the question open for one more week and then accept the best answer.
This would be tricky to answer but I will try my best based on my experience.
In the past, I have performed text classification on 3 datasets; the number in the bracket indicates how big my dataset was: restaurant reviews (50K sentences), reddit comments (250k sentences) and developer comments from issue tracking systems (10k sentences). Each of them had multiple labels as well.
In each of the three cases, including the one with 10k sentences, I achieved an F1 score of more than 80%. I am stressing on this dataset specifically because I was told by some that the size is less for this dataset.
So, in your case, assuming you have atleast 1000 instances (calls that include conversation between customer and agent) of average 7 minute calls, this should be a decent start. If the results are not satisfying, you have the following options:
1) Use different models (MNB, Random Forest, Decision Tree, and so on in addition to whatever you are using)
2) If point 1 gives more or less similar results, check the ratio of instances of all the classes you have (the 3 axis you are talking about here). If they do not share a good ratio, get more data or try out the different balancing techniques if you cannot get more data.
3) Another way would be to classify them at a sentence level than message or conversation level to generate more data and individual labels for sentences rather than message or the conversation itself.
I'm trying to work out how to solve what seems like a simple problem, but I can't convince myself of the correct method.
I have time-series data that represents the pdf of a Power output (P), varying over time, also the cdf and quantile functions - f(P,t), F(P,t) and q(p,t). I need to find the pdf, cdf and quantile function for the Energy in a given time interval [t1,t2] from this data - say e(), E(), and qe().
Clearly energy is the integral of the power over [t1,t2], but how do I best calculate e, E and qe ?
My best guess is that since q(p,t) is a power, I should generate qe by integrating q over the time interval, and then calculate the other distributions from that.
Is it as simple as that, or do I need to get to grips with stochastic calculus ?
Additional details for clarification
The data we're getting is a time-series of 'black-box' forecasts for f(P), F(P),q(P) for each time t, where P is the instantaneous power and there will be around 100 forecasts for the interval I'd like to get the e(P) for. By 'Black-box' I mean that there will be a function I can call to evaluate f,F,q for P, but I don't know the underlying distribution.
The black-box functions are almost certainly interpolating output data from the model that produces the power forecasts, but we don't have access to that. I would guess that it won't be anything straightforward, since it comes from a chain of non-linear transformations. It's actually wind farm production forecasts: the wind speeds may be normally distributed, but multiple terrain and turbine transformations will change that.
Further clarification
(I've edited the original text to remove confusing variable names in the energy distribution functions.)
The forecasts will be provided as follows:
The interval [t1,t2] that we need e, E and qe for is sub-divided into 100 (say) sub-intervals k=1...100. For each k we are given a distinct f(P), call them f_k(P). We need to calculate the energy distributions for the interval from this set of f_k(P).
Thanks for the clarification. From what I can tell, you don't have enough information to solve this problem properly. Specifically, you need to have some estimate of the dependence of power from one time step to the next. The longer the time step, the less the dependence; if the steps are long enough, power might be approximately independent from one step to the next, which would be good news because that would simplify the analysis quite a bit. So, how long are the time steps? An hour? A minute? A day?
If the time steps are long enough to be independent, the distribution of energy is the distribution of 100 variables, which will be very nearly normally distributed by the central limit theorem. It's easy to work out the mean and variance of the total energy in this case.
Otherwise, the distribution will be some more complicated result. My guess is that the variance as estimated by the independent-steps approach will be too big -- the actual variance would be somewhat less, I believe.
From what you say, you don't have any information about temporal dependence. Maybe you can find or derive from some other source or sources an estimate the autocorrelation function -- I wouldn't be surprised if that question has already been studied for wind power. I also wouldn't be surprised if a general version of this problem has already been studied -- perhaps you can search for something like "distribution of a sum of autocorrelated variables." You might get some interest in that question on stats.stackexchange.com.