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16 views

Selection criteria select 0 lags for a VAR model

I am selecting the number of lags for a VAR model. Selection criteria and the LR statistic suggest 0 lags. Should I simply drop the VAR altogether, even if this goes against my intuition?
26 views

Understanding lag operators in ARMA models

I'm trying to understand the root cancellation (or sometimes pole zero cancellation of an ARMA(1,1) model as an example). I know, root cancellation occurs if the AR parameter is equal to the MA ...
13 views

Why identical results when including lagged values in regressions with logged and growth rates as dependent variable?

I am analyzing the effect of autocrats on GDP per capita using a country level panel data. I run two regressions: first using ln(GDP per capita) and then growth rate of GDP per capita as dependent ...
35 views

Solving for a difference equation for a time series variable

I am trying to solve for the values of a variable $u_t$. $u_t$ is defined as: $(1-L-L^2)u_t = \epsilon_t$ where $L$ is the lag operator and $t=1,...,n$. $\epsilon_t$ is a random variable (normal[0,1]...
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Proving that lagging results is sufficient to prevent foreknowledge in model

I am trying to explain to a friend why lag prevents foreknowledge in a model. The example that sparked the discussion is here:quantstattrader My Attempts Shifting the prediction back by one wouldnt ...
81 views

How many lags should be considered when testing for serial correlation in the error terms?

In a time-series OLS regression of daily stock returns on a set of explanatory variables I want to test whether the error terms are auto-correlated before I decide to use Newey-West standard errors (...
11 views

Weightage for lag variables

I am working on e-commerce, how to rank smartphones in the same category. I want to calculate a weighted average of sentiment score from reviews posted by buyers. Weights will be based on how many ...
25 views

Coefficient bias in ARIMA vs. lagged regression

I am trying to estimate the effect of an external regressor $x_t$ on a time series $y_t$. My first attempt was using an ARIMAX(p,d,q) Model to estimate $\beta_x$ while controlling for the ARMA ...
42 views

VAR lag length vs Johansen cointegration test outcome?

First puzzle: I am taught that the lag order of VECM does not affect the cointegration rank because the lag order is for the differenced regressors. But, I see the contrary: I experimented with sample ...
27 views

Prewhitening Regressors in Lagged Time Series Regression

I'm trying to identify significant lags in a time series regression such that $Y = \beta_0X_t + \beta_1X_{t-1} + ... + \beta_iX_{t-i} + \alpha_0Z_t + \alpha_1Z_{t-1} + ... + \alpha_jZ_{t-j}$ I ...
62 views

Optimal lag selection for panel unit root test PESCADF and CIPS

I am running second generation panel unit root test in stata, CIPS with "multipurt" and PESCADF with "pescadf", but I would like to know if there is a way to know the optimal lag selection, and if I ...
11 views

Finding right lags for several independent variables in linear regression

I have gone through several other Stats.stackexchange posts such as these experiment lags, Cross-correlation function suggestion,VAR model approach and lagged dependent variable approach. One of the ...
160 views

Forecast time series data with external variables

Currently I'm working on a project to do forecasting of a time series data (monthly data). I am using R to do the forecasting. I have 1 dependent variable (y) and 3 independent variables (x1, x2, x3)...
33 views

VAR model: include all lags up to AIC-suggested order or just the significant ones?

I'm building a regression model in which I have a dependent variable OSE, and two independent variables, MSCI and Brent. In this model I wish to include lagged variables. I performed an AIC for my ...
69 views

Choosing the maximum lag length in the augmented Dickey-Fuller test

I have a question regarding how to choose the maximum lag length in the augmented Dickey-Fuller test using the "urca" package in R. I want to perform the ADF test on the daily price of a stock index ...
13 views

Granger causality test for integrated variables: to difference or not to difference? [duplicate]

Given a pair of I(1) variables, should I difference them before conducting the Granger causality test? Additionally, which lag would I use to check the causality?
38 views

Critical values for Levin & Lin (1992) unit root test with lags

I am testing for the presence of unit root in a panel data with $T=12$ and $N=60$. I am using the Levin & Lin "Unit root tests in Panel data: asymptotic and finite-sample properties" (1992) ...
30 views

Conflicting cointegration results due to different lags in Johansen procedure

I have been using two different models for cointegration: Johansen's test and ARDL (autoregressive distributed lag). I guess this example could be extendent for other cointegration models as well. I ...
14 views

Threshold autoregressive model(TAR) best lags

What is procedure of threshold auto regressive model(TAR) for selecting lags. Suppose that this two-regimes fitted model: This is an example from Analysis of Financial Time Series book. How this ...
27 views

Placement of lags & dummies

I am doing a regression of GDP per capita (dependent) on FDI (independent variable) - with 8 control variables and two interaction terms - to identify the effect of foreign direct investment on ...
37 views

Principle application in First Differences & Fixed Effects

I'm slightly confused about specific use of these two estimators. I have gone through the mathematical make up of each, and how they both can remove unobserved endogeneity. I'm currently running ...
69 views

lag length selection in VAR model

I want to study the impulse response function and the variance decomposition by fitting a var model. The lag length criteria gave me this result. What's the problem ?
25 views

Lag length for the Ljung-Box test

I have an ARIMA model applied on hourly data: Arima.fit2 <- Arima(tsTrain, order=c(17,1,0)) The length of my training set is 60 hours. In the end I plan to ...
76 views

Why can't I get rid of serial correlation in lag length selection?

I'm doing a statistical study based on the USD price of Bitcoin, including explanatory variables like Google Trends data, Dollar strength, stock exchange etc. Setting up a VAR in levels for lag ...
27 views

What is the proper way to regress on a single event with lagged effects?

I am trying to understand how one would go about setting up a regression model, including construction of the data matrix, when you have a response variable y that experiences lagged effects from a ...
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Right way to use lags?

I came across a study that analyzes firm performance. Specifically, it aims at answering the question if firing a CEO leads to better performance. In the study, the author splits the sample into two ...
40 views

Modelling a time-series with lags

I have a data set with 200 predictors and 700 observations. It is a regular time series, so 700 days in my case. I want to experiment with lagged variables, which I will create manually and save as ...
81 views

R: Access/store optimal number of lags from unit root test [closed]

I am testing several variables for unit roots via the ur.df (from urca package) and CADFtest ...