Tentative Time Series Model Selection Plan

Hey guys there is one chart a tentative one for time series model selection, which probably needs some suggestions. The models are based on the result of unit root tests and most of the problems are expected to be caused if the appropriate model is not selected.



10 thoughts on “Tentative Time Series Model Selection Plan

  1. Yasmine Rashed says:

    Thank you for the flow chart of selecting a time series model, is there a source, or how to cite if i want to use that diagram.

    1. Noman Arshed says:

      This chart is made by my self studying several book like, time series analysis by walter enders, book of Greene, book y johnston dinardo and base articles of these models

      1. Yasmine Rashed says:

        Thank you, would you send me the citation, what else should i write beside your name. Did you publish it somewhere in a thesis or paper?

  2. hien says:

    Regarding level 4 of this figure, it indicates many models corresponding to cointergrated or not cointergrated. Would you please share me the briefly content?
    For Example: ADRL (bound test) vs ADRL (stimutainous)

  3. Matthew Buhagiar says:

    Thanks for the flowchart. Regarding the order of integration, especially when considering economic data, we usually take the natural log of the first difference to ensure (at least weak) stationarity. Would that be classified as I(0) just the same or I(1) as in first difference? Also, once this is established for the different time series involved, should every pair be tested for cointegration in order to move to the final step in the flowchart? Or is there some way to test cointegration of all time series simultaneously?

    1. Noman Arshed says:

      you should take log first then check for order for integration, then the problem will be solved. secondly no all the variables should be checked for cointegration together

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