Econometric Modeler Analysis

Summary of results from the Econometric

Modeler App
Econometrics Toolbox Version 5.6 (R2021a)

14-Aug-2021
Table of Contents
1. Time Series: sales1 ...................................................................................................................................... 2
1.1. Time Series Plot ............................................................................................................................... 2
1.2. Sample Autocorrelation Function.................................................................................................. 3
1.3. Sample Partial Autocorrelation Function...................................................................................... 4
1.4. Augmented Dickey-Fuller Test ....................................................................................................... 5
2. Time Series: sales1SeasonalDiff................................................................................................................. 6
2.1. Time Series Plot ............................................................................................................................... 6
3. Time Series: sales1SeasonalDiffDiff .......................................................................................................... 7
3.1. Time Series Plot ............................................................................................................................... 7
3.2. Augmented Dickey-Fuller Test ....................................................................................................... 8

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1. Time Series: sales1
1.1. Time Series Plot

Time Series Plot

1100
sales1
1000

900

800

700

600

500

400

300

200
10 20 30 40 50 60 70 80 90 100 110 120
Index

Figure 1.1. Time Series Plot of sales1

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 1. Time Series: sales1

1.2. Sample Autocorrelation Function

Sample Autocorrelation Function

1
sales1
Confidence Bounds

0.8

0.6
Sample Autocorrelation

0.4

0.2

-0.2
0 5 10 15 20 25 30 35 40
Lag

Figure 1.2. Sample autocorrelation function of sales1

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 1. Time Series: sales1

1.3. Sample Partial Autocorrelation Function

Sample Partial Autocorrelation Function

1
sales1
Confidence Bounds

0.8
Sample Partial Autocorrelation

0.6

0.4

0.2

-0.2
0 5 10 15 20 25 30 35
Lag

Figure 1.3. Sample partial autocorrelation function of sales1

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 1. Time Series: sales1

1.4. Augmented Dickey-Fuller Test

Null Hypothesis: sales1 contains a unit root

Table 1.1. Test Parameters

Lags Model Test Statistic Significance Level
1 0 AR t1 0.05

Table 1.2. Test Results

Null Rejected P-Value Test Statistic Critical Value
1 false 0.2363 -1.13 -1.9437

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2. Time Series: sales1SeasonalDiff
2.1. Time Series Plot

Time Series Plot

200
sales1SeasonalDiff

150

100

50

-50

-100
10 20 30 40 50 60 70 80 90 100 110 120
Index

Figure 2.1. Time Series Plot of sales1SeasonalDiff

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3. Time Series: sales1SeasonalDiffDiff
Time series sales1SeasonalDiffDiff is the first-order difference of time series
sales1SeasonalDiff.

3.1. Time Series Plot

Time Series Plot

250
sales1SeasonalDiffDiff
200

150

100

50

-50

-100

-150

-200
10 20 30 40 50 60 70 80 90 100 110 120
Index

Figure 3.1. Time Series Plot of sales1SeasonalDiffDiff

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 3. Time Series: sales1SeasonalDiffDiff

3.2. Augmented Dickey-Fuller Test

Null Hypothesis: sales1SeasonalDiffDiff contains a unit root

Table 3.1. Test Parameters

Lags Model Test Statistic Significance Level
1 0 AR t1 0.05

Table 3.2. Test Results

Null Rejected P-Value Test Statistic Critical Value
1 true 0.001 -19.0973 -1.9442

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3. Time Series: sales1SeasonalDiffDiff