The lags tag has no wiki summary.
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How to fit a model with lagged variables
I am trying to fit a model with lagged variables.
The problem is: In a big classroom with windows open, the outside temperature, humidity and solar activity will lead to variation in the ...
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How should I interpret the (Bartlett) lag window in this equation?
I'm trying to apply a technique for identification of structural breaks in a financial time-series (so heteroskedastic) and one of the estimators is defined as follows:
$$
\hat{\omega}_4 = ...
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44 views
STATA - Procedure for properly estimating an AR(p)
I'm trying to estimate an autoregressive process AR(p).
Following the literature:
1) I checked if the series is stationary or not running the augmented Dickey-Fuller test (as I expected, the ...
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29 views
Running a Probit on Survival-Time Data?
Can I run a probit on survival time data? It's discrete-round, and I want to look at whether lagged variables affect the failure event. I am, however, getting negative coefficients for a probit ...
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12 views
Polynomial distributed lag glms
I am about to use this input for my data but i cant find under which packages does it work.
I searched almost everywhere.
m<-pdlglm(yy~pdl(zz,4,2)+sin(zz)+pdl(xx,4,4))
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How to use Almon model (polynomial distributed lag) in R program
I am testing tje influence of intramural R&D expenditure, life expectancy, HDP and tax on GINI index but I have a problem because I am trying to make my model better by using the Almon model of ...
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2answers
369 views
Inclusion of lagged dependent variable in regression
I'm very confused about if it's legitimate to include a lagged dependent variable into a regression model. Basically I think if this model focuses on the relationship between the change in Y and other ...
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1answer
79 views
Issues when using interaction term with a lagged variable in R
Today I tried to estimate models using both plm and pgmm functions in the plm R package, with an interaction between ...
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117 views
Selecting number of lags in ADF unit root test
I'm working on with a time series I want to check for unit root, it's a exchange rate index. I'm do the ADF with different lags, with an intercept and not with a trend, and it yields the results,
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63 views
Prediction using dynlm/dyn [closed]
I was wondering if anyone could help me to carry out prediction using a dynlm model. I seem to have trouble as there are two lagged components within the model.
The model I've fitted is:
...
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263 views
Lag length selection Granger causality test
Consider G-Causality on two stationary time series vectors (call these variables $X$ and $Y$), each with 100+ observations. It's daily financial market time series data. I have reason to believe that ...
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1answer
198 views
Vector autoregression - number of lags
I am constructing a Vector autoregression model and I have used AIC to find how many lags I should use. Does 7 lags seem unreasonable? I am trying to find the impact the property market has had on the ...
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713 views
Creating auto-correlated random values in R
We are trying to create auto-correlated random values which will be used as timeseries. We have no existing data we refer to and just want to create the vector from scratch.
On the one hand we need ...
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2answers
729 views
Correlating volume timeseries
Consider the following graph:
The red line (left axis) describes the trading volume of a certain stock. The blue line (right axis) describes the twitter message volume for that stock. For instance, ...
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1answer
252 views
Lagging over a grouped time series
I have a few tens of thousands of observations that are in a time series but grouped by locations. For example:
...
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0answers
176 views
Lag Selection Modelling 'Pseudo' Panel Data
I have what I would call a pseudo panel, where my dependent variable varies over time and space (regional death counts), but my x variable of interest does not (national wage time series).
Basically, ...
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2answers
326 views
How to account for lag in a simple regression in R?
I'm trying to do a regression with data over time, and where I suspect there may be a lag component in the relationship between my dependent and independent variables. I've actually found some data ...
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144 views
Using autocorrelation plots to choose the number of inputs for a neural network predicting time series
A neural network applied to time series needs to have the number of input nodes defined. Each input is applied to a time point previous to the current point being predicted. If $D$ is the number of ...
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365 views
What is wrong with lagged regressor in time series regression?
I am trying to explain a time series with the help of other related series. I really get nice fits using a standard LM approach with NeweyWest VC matrix. The fit even increases drastically when I ...
