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I was wondering if you can share your experiences on what you feel is the best method to test lead / lag relationships between I(1) time series variables (i.e stock prices) and advantages and disadvantages of your proposed method(s). Also if you have links to academic papers that further describe these methods I would greatly appreciate them.

I have read several papers that speak of VECMs, IRSUR, simple OLS, threshold regression etc.. but I'm not sure which to use for my study. I am trying to establish lead/lag relationships in intraday stock data returns (using 1 minute price time series) between stock prices of ~50 companies in one particular sector.

Appreciate the help.

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Any comments anyone? Anyone do lead/lag analysis of related cross sector stock prices? – algotr8der May 20 '11 at 1:41
I think this question was too general to really expect a response. Better would have been to do some of the basic research yourself, try some different methods, and come back with more specific questions based on that experience. – Peter Ellis Feb 11 '12 at 0:58
Thanks Peter for the comment. I am currently studying various techniques i.e. granger, entropy and some others. Still trying to wrap my head around the concepts. Will write more if I have specific questions. – algotr8der May 4 '12 at 12:33

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