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1answer
40 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 ...
0
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0answers
11 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?
1
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0answers
17 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) ...
1
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0answers
16 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 ...
0
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0answers
8 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 ...
0
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0answers
23 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 ...
0
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0answers
36 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 ...
0
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0answers
23 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 ?
0
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0answers
20 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 ...
0
votes
1answer
55 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 ...
1
vote
1answer
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 ...
4
votes
0answers
24 views

Autocorrelation of concatenated independent AR(1) processes

Let $\left\{X_t\right\}$ be a stochastic process formed by concatenating iid draws from an AR(1) process, where each draw is a vector of length 10. In other words, $\left\{X_1, X_2, \ldots, ...
1
vote
1answer
38 views

VAR model: many parameters, but short time series

We are wondering how many degrees of freedom are sensible in a model and if there is a rule of thumb. We have a time series of 57 periods, with 4 endogenous variables and 3 exogenous variables in a ...
0
votes
1answer
41 views

What is the point of lag plots and autocorrelation plots?

Most people seem to argue that lag plots and autocorrelation plots are useful for determining whether some univariate time series data is random or not. I feel like I could accomplish this task by ...
4
votes
1answer
55 views

What to do if ACF or PACF show significant higher lags?

I have monthly climate data for 90 years. I assembled the best model I could (added sensible parameters to minimize AIC), and then tried various ARMA correlation structures (using ...
2
votes
0answers
27 views

Lag length selection in levels-VAR before VECM: inclusion of exogenous variables

I am trying to estimate a VECM and I read in Asteriou´s book "Applied Econometrics" that "The most common procedure in choosing the optimal lag length is to estímate a VAR model including all ...
0
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0answers
7 views

Predict ranges for 2 predictor variables on basis of response variable in time series

I have 3 time series (concentrations of different compounds across the course of an experiment): A, B and C. During the experiment, I can manipulate levels of A and levels of B to keep levels of C ...
1
vote
1answer
37 views

Lags of dependent variable in regression with non-stationary variables

I am currently doing some econometrics with, probably, nonstationary variables in a panel setting. I was hoping for cointegration, but, ADF-test on stationarity of residuals of a cointegrating ...
1
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0answers
43 views

If $FX_t=X_{t+1}$ and $BX_t=X_{t-1}$ show that $F=B^{-1}$ and $B=F^{-1}$

So the backshift operator is defined as: $$BX_t=X_{t-1}$$ And the forward shift operator is defined as: $$FX_t=X_{t+1}$$ Can someone please help show me how $F=B^{-1}$ and $B=F^{-1}$ are true? My ...
1
vote
1answer
28 views

Fitted GARCH conditional mean values lag by 1

I am attempting to calculate the RMSE in-sample value from a GARCH model. ...
0
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0answers
15 views

Use DTW-approach for correlation coefficients

Dynamic time warping is a popular similarity metric which I use to find correlations between time series that have different length or are time shifted. As it is a similarity metric, it doesn't show ...
1
vote
0answers
47 views

How to Calculate Standard Error and Prediction Intervals for ARMA Forecasts on Transformed Data?

I have been recently learning about the Box-Jenkins process for ARMA modeling, and I ran into a bit of a wall when it comes to error analysis. In a lot of my data sets, I have to apply a log ...
0
votes
1answer
54 views

Granger causality - lag=1?

I have a question related to Granger Causality testing. Is it okay to use a lag-length of lag=1 in my Granger-test? The optimum lag length selection in my R ...
3
votes
1answer
187 views

Does using lagged independent variables makes sense?

While it seems quite common to calculate a lagged version of the dependent variable and to use it on the right hand side of a model (e.g., autoregressive models), I have rarely seen that lagged ...
0
votes
0answers
18 views

Estimations that can't be applied to models with time operators (lagged)

Some estimation commands can't be applied to models with time operators such as lags. For example, in panel data a model that specifies an impact of independent variables at time t-1 on dependent ...
0
votes
1answer
56 views

VAR lag selection heavily depends on maximum lag investigated

I am fitting an Error Correction Model with two monthly price time series. In Stata I am using the varsoc command to determine the number of lags that are ...
2
votes
1answer
61 views

Simulating a time series including a shock

I want to simulate a time series in R, following an ARMA(1,0) model in the form $Y_t = Y_{t-1} + \epsilon_t$, shocking it at time 20. In a few words, I therefore have to input $\epsilon_{20} = 30$ ...
1
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0answers
20 views

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 ...
1
vote
1answer
37 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 ...
1
vote
1answer
54 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 ...
0
votes
0answers
35 views

Level or Diff data for lag selection criteria?

I am doing granger causality for oil price and exchange rate using Eviews. I would like to ask if my data is stationary after 1st diff for both variables after using unit root test, then should i use ...
0
votes
0answers
287 views

Lag length selection in a dynamic model, ARDL approach to cointegration in R

I want to programme an ARDL approach to cointegration in R. Below is the generic equation: $$\Delta y_t=\beta_0+\sum \beta_i \Delta y_{t-i}+\sum \gamma_k \Delta x_{1,t-k}+\sum \psi_j \Delta ...
1
vote
0answers
71 views

Breusch-Godfrey Test and the length of the lag, p

I'll use Breusch-Godfrey (BG) test to test correlation of an AR(1) model. In order to perform a BG test, the simple regression model is first fitted by ordinary least squares to obtain a set of sample ...
1
vote
1answer
72 views

Why after including lags do seasonal dummies become significant?

I am trying to model data that clearly looks like it has seasons. However I only pick up seasonality in very small subsets of the data and only after I add in lagged variables and eliminate trend. I ...
1
vote
1answer
74 views

What are the implications and possible explanations for an AR(7) process model?

I am in the process of constructing a regression for financial data and found that serial autocorrelation is present in the model through the correlogram: It looks like it could be an AR(7) ...
0
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0answers
29 views

Inverse of Lag Operator

I'm new to the concept of a "lag operator" $L$ where $Ly_t=y_{t-1}$ for some sequence $\{y_t\}_t$. Question: How do you prove both equalities below: $$ (1-\lambda L)^{-1}=1+\lambda L+\lambda^2 ...
0
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2answers
65 views

DLNM and crossreduce(): getting the coefficients behind the cross-basis

I am using the R package dlnm to fit a distributed lag non-linear model estimated with lm(). One can specify both the exposure ...
0
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0answers
25 views

How much should lags be used in GMM?

what are the necessary conditions for the use of lags in GMM and to what extant the lags should be use? is there any limit for the lags in GMM? i know its pretty question but due to my limited ...
1
vote
0answers
57 views

VAR Stability - Lag Order Selection

I followed this excellent tutorial on the implementation of Granger causality: http://davegiles.blogspot.de/2011/04/testing-for-granger-causality.html and applied the method with an R script. My date ...
1
vote
1answer
261 views

Lag Length from a VAR and Vector Error Correction Model (VECM)

A colleague wrote a paper and I am reviewing it for him to make sure it is good. In the paper, the author estimated a VAR to determine the optimal lag length based on the Schwartz Criterion. Then ...
1
vote
1answer
43 views

Reciprocal Causation in Panel Data

I have weekly data on stop and searches for all London Boroughs for ten years (N=32, T=566) and am interested in whether the number of stop and searches has any impact on crime rates. I don't expect ...
0
votes
1answer
92 views

Degrees of Freedom in VAR

A colleague of mine is using a VAR for quarterly data (deseasonalized). Typically it is customary to use lag of 4 or 5. However, they used two lags based on a single test result, the SC criteria. Of ...
2
votes
1answer
175 views

Is an auto-correlation plot suitable for determining at what point time series data has become random, and how does one interpret the plot?

A piece of research I am working on requires us to decide at what point time series data has become random. For what it is worth, the time sequence in question is a collection of in-process timings ...
4
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0answers
199 views

Fixed Effects vs Lagged DV vs. First Differences Regression

What are the differences between using unit fixed effects, unit fixed effects and time fixed effects, lagged DV, or first differences to analyze a time series with 4-5 time periods and 35-50 units per ...
0
votes
0answers
105 views

Forecasting time series with lagged variables and machine learning

I want to forecast a time series based on the lagged variables of the model and train it using a machine learning algorithm like Random Forest, SVM, Neronal Network, etc. So I want to forecast A ...
0
votes
0answers
12 views

Deciding the lag while testing for timeseries data stationarity

I am currently reading up on time series forecasting using ARIMA in SAS. I just began to go through what has been explained here : ...
2
votes
0answers
50 views

Lag Selection in an unbalanced panel in R

How to determine appropriate number of lags in an unbalanced panel? Thanks.
0
votes
0answers
153 views

What is the difference between “lag order” and “maximum lags”

The R Vars package has a Vector Auto Regression function called var. The arguments include (among other things) "p" defined as the "Integer for the lag order" and "lag.max," which is defined as ...
1
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0answers
42 views

CCF time lag in minutes in R

I have data sampled every 5m and I want to estimate the ccf between them, in order to do it I prewhiten the time series x and y and then I apply CCF But lags are not direct related with my sampling ...
0
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0answers
23 views

Estimate VAR model from data about lags

Does anybody have any idea how i would write the var model based on this table? What coefficients should be included? Any hint will be much appreciated. Thank you!