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0
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1answer
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?
2
votes
1answer
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 ...
0
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0answers
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 ...
1
vote
1answer
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]...
0
votes
0answers
10 views

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 ...
2
votes
0answers
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 (...
0
votes
0answers
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 ...
0
votes
1answer
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 ...
0
votes
1answer
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 ...
1
vote
0answers
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 ...
0
votes
0answers
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 ...
0
votes
0answers
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 ...
2
votes
3answers
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)...
0
votes
1answer
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 ...
0
votes
1answer
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 ...
0
votes
0answers
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?
1
vote
0answers
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) ...
1
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0answers
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 ...
0
votes
0answers
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 ...
0
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0answers
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 ...
0
votes
0answers
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 ...
1
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0answers
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 ?
0
votes
0answers
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 ...
0
votes
1answer
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 ...
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
26 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, X_{10}\...
1
vote
1answer
142 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
126 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
110 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
48 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
votes
0answers
9 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
69 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
vote
0answers
48 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
33 views

Fitted GARCH conditional mean values lag by 1

I am attempting to calculate the RMSE in-sample value from a GARCH model. ...
0
votes
0answers
24 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
79 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
68 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
198 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
21 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
86 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
95 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
vote
1answer
30 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
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 ...
1
vote
1answer
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 ...
0
votes
0answers
47 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
420 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 x_{2,t-j}+\...
3
votes
0answers
103 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
79 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
90 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) process,...
0
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0answers
31 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 L^2+\...