The lags tag has no wiki summary.
3
votes
0answers
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 ...
2
votes
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, ...
2
votes
0answers
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 ...
1
vote
0answers
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,
...
0
votes
0answers
16 views
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 = ...
0
votes
0answers
45 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 ...
0
votes
0answers
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 ...
0
votes
0answers
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))
0
votes
0answers
69 views
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 ...
