We use linear models primarily to analyse cross-sectional data; i.e. data collected at one specific point in time across several observations. We can also use such models with time series data, but need to be cautious of issues such as […]

Continue reading »# Tag: finance

# neuralnet: Train and Test Neural Networks Using R

A neural network is a computational system that creates predictions based on existing data. Let us train and test a neural network using the neuralnet library in R.

Continue reading »# Serial Correlation: Durbin-Watson and Cochrane-Orcutt Remedy

Serial correlation (also known as autocorrelation) is a violation of the Ordinary Least Squares assumption that all observations of the error term in a dataset are uncorrelated. In a model with serial correlation, the current value of the error term […]

Continue reading »# Stationarity and Cointegration in R (adf, egcm, pp, kpss)

When we refer to a time series as stationary, we mean to say that its mean, variance and autocorrelation are all consistent over time. Cointegration, on the other hand, is when we have two time series that are non-stationary, but […]

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