Econometrics: one step ahead forecast - page 95
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No, I'm not against ergodicity at all, I'm even for it. It's actually the strongest requirement, much stronger than weak stationarity. And it really solves the prediction problem.
But, hell, how do you check it with a single process implementation and a finite set of data?
No, I'm not against ergodicity at all, I'm even for it. It's actually the strongest requirement, much stronger than ergodicity. And it really solves the prediction problem.
But how the hell do you check it with a single process implementation in hand?
To hell with ergodicity!
There is a quotient. The question is what can be plucked from it in analytical form. We have plucked it. Looking at the remainder, what else can we do? It's like a cartoon. So, we just measure with our feet.
I don't know anything else so well worked out
there are problems:
1. the trampling of the field. This tool is owned by many, and not everyone can be rich
2. the speculative systems have profit from other people's losses or shortfall in profits. From whom and at what cost does a system built on all sorts of regressions and other manipulations of the series take money?
Imagine some gambling game as a series of numbers, coding move variants and then trying to predict who will win with the help of regressions))).
Econometrics is not for speculative markets.
there are problems:
1. the trampling of the field. Many people own this tool, and not everyone can be rich
A known problem. But this is for fans of waves and Fibonacci
Econometrics provides an opportunity to make a much more diverse TS. The probability of getting into a market addiction is much lower than in TA
Econometrics is not for speculative markets
In EViews a prediction per step is a forecast, and a prediction per n steps is not a sure thing.
Well, firstly, these are all generalities that I already know.
Secondly, looking at the quoting process as a set of realisations is out of the question here. The realisation is one, full stop. At least in econometrics.
Third, and most importantly: how can it be tested, ergodicity, if there are no other possible realizations we can make in principle?
I don't have any special words.
It's elementary to check - the price range available is long. Chop it up into chunks!
To check ergodicity it is sufficient to calculate variance value for three to five chunks of equal length and compare them with each other. If they differ from each other within 3-5%, then the process is ergodic and length of implementation is sufficient to calculate its characteristics. If the discrepancy is more than 10%, then either the process is non-stationary or too short pieces are used.
And don't have such a habit of falling into despair at the slightest moment!
What you have pointed out here is not an ergodicity test, but a homo(hetero)skedasticity test, which is much weaker than ergodicity.
What you have pointed out here is not an ergodicity test, but a homo(hetero)skedasticity test, which is much weaker than ergodicity.
Stop this provocation. You need to compare stat characteristics - mat expectation, variance and autocorrelation function. Chop the series into chunks, count and compare. Just don't make the chunks short. I may be wrong about specific percentages, but the method is correct.
Demi:
Elementary to check - the price range available is long. Chop it up into pieces!
To check for ergodicity, just calculate the variance for three to five chunks of equal length and compare them with each other. If they differ by 3-5%, then the process is ergodic and the length of implementation is sufficient to calculate its characteristics. If the discrepancy is more than 10%, then either the process is non-stationary or too short pieces are used.
I have no special words.
Not in statistics, but in econometrics there is: variance ratio test
faa1947, why are you so attached to this EViews? You almost pray for it... And you present it as something perfect and worthy of unconditional emulation. It's like a guide to action... I don't understand... Is that the end of your knowledge? May I suggest some literature?
By the way, you still did not answer my question: what theoretical principles of the method of state space are not clear to you? After all, in order to explain in a comprehensible way, I need to figure out from which place the difficulties begin, and what is enough to mention in passing.
The topicstarter does the same, but it has no special relation to ergodicity. And it's clearly not enough.
That's it, I have no more questions for you.