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I'm trying to model how one time series A (transactions in an asset in some market) leads another time series B (transactions in a related asset). In this sense, I guess I'm trying to forecast B using lagged values of B and lagged values of A.

What tool seems to fit the description of what I'm trying to do? I was thinking ARDL models fit this kind of problem quite well, but I haven't found a ready-to-go implementation in Python.

There's also ARIMAX but from the descriptions it seems that this would be trying to predict B using lagged values of B and contemporary values of A. Is it possible to predict B using only non-contemporary values of A and B (is it as simple as just shifting A?) Lastly, it's monthly data, but going in, I'm unaware of the lag factor to be used.

Although I've read a bit around this site, very new to time series and appreciate all advice, cheers.

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  • $\begingroup$ Have I answered your question? You have neither commented on it nor accepted. $\endgroup$ – Richard Hardy Sep 22 '16 at 11:30
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Is it possible to predict B using only non-contemporary values of A and B (is it as simple as just shifting A?)

Yes, it is. If you have a model $y_t=f(y_{t-1},x_t)$ you can define $z_t:=x_{t-1}$ and run $y_t=f(y_{t-1},z_t)$ and thus effectively $y=f(y_{t-1},x_{t-1})$.

Regarding the lag factor, you will have to experiment with it to see which works best, unless there is a theory implying a definite lag order and you wish to stick to the theory.

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