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Questions tagged [lags]

A lagged value in a time series is a value of a variable corresponding to an earlier time. For example, in a monthly time series, the first lagged value will be the value for the previous month and so on.

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19 views

How to change the observation for the first lag in an AR(1) model?

I run a simple AR(1) model in my analysis using ols: ar.ols(df$y, order.max = 1)) However, I work with generations as my unit of analysis. Therefore, the first ...
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27 views

Lagged independent variable's coefficient changes when higher lags are included

I'm running a TSCS analysis with the plm library in R with which I want to explain students' performances. The data consist of approximately 1100 units and has 25 points of measurement - panel data ...
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20 views

Optimal lag-selection in VAR-model in R

Having troubles with the lag specification of a VAR-model. The purpose of the model is to measure orthogonal impulse/response function of oil price shocks on macroeconomic variables, such as GDP-...
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10 views

Calculating standard errors for long-run (cumulative) multiplier in a Distributed Lag model

I have a distributed lag model of the form: lm(wellbeing ~ temperature + temperature_lag1 + temperature_lag2 + time + individual, df) where I'm interested in ...
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24 views

Do you have to include all leading lags in a regression model?

Let's say you have a regression model in the below form: y = x(t) + x(t-1) + x(t-2) + c If x(t-2) is a significant predictor for y, but the x and x(t-1) variables are not, can you drop those ...
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21 views

Box-Jenkins Methodology and ARMA order questions

Beginner stats user here. I hope I'm in the right place. I'm working on estimating the proper order of an ARMA Model to use according to Box-Jenkins methodology. 1)In the first steps of ...
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16 views

Spatial Lag or spatial Error Model? Deciding by using the Lagrange multiplier diagnostics

Honestly, my knowledge of geostatistics is limited. My assumptions are as follows: If I want to choose between a Spatial Lag Model (SLM) and a Spatial Error Model (SEM), I can use the Lagrange ...
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11 views

Lagged variables as IVs

I want to run a endogeneity check on a particular explanatory variable. My dependent variables has value added of services in manufacturing exports, while my suspected endogenous variable is overall ...
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26 views

SMOTE and Lagged Observations

I'm doing a project about the effect of synthetic oversampling in a machine learning context (more precise SMOTE for the oversampling of the minority class of a highly imbalanced target variable). The ...
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19 views

Why the new variables formed by Almon distributed lag model are still highly correlated?

I just got started with the Almon distributed lag model. This is good reference I found that was very helpful and I basically followed the same methodology to create the "transformed" new variables. ...
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Cross-classified multilevel model with lagged dependent variable Using R

I am a bit stuck with my model and I wonder if this is even possible using R. Basically I want to use a lagged dependent variable (LDV) in a cross-classified multilevel model (MLM). Following remarks ...
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1answer
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the difference between using an AR(1) term (as in GAMM) versus using PM lag variable (in GAM)

I conducted an experiment to predict particulate matter (PM) level using a GAM. To do so I included the lag1 PM (PM value of day before) as well as few meteorological terms. In my second experiment ...
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26 views

Prediction model with lagged target variable as input

Including a lagged version of the target variable as input naturally improves the accuracy. A disadvantage I observe is that almost all the weight (e.g. in linear regression) is put on that feature, ...
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56 views

High peaks at same fixed lag in both acf and pacf of residuals of model from auto.arima and tbats output. Really stuck with this one

I have data for every 15 mins for 4 years. ADF test shows that my data is stationary. I tried fitting model using auto.arima and seasonal=F,and I get the output as ARIMA(3,1,2) but the residual acf ...
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6 views

Single Variate Fixed Period Lagged Regression

I found a relationship that seems strong, but I'm not finding corroboration of it in research papers, so, am I missing something obvious? I have data (for simplicity of explanation) ...
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17 views

What are the statistical reasons of choosing between a static and dynamic panel data model?

I would like to know more about the relation between serial correlation/autocorrelation and static vs. dynamic panel data models to decide between a static or dynamic model. Currently, I am analyzing ...
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16 views

Can ARIMAX covariates be lagged?

I read that the ARIMAX is a composition of the Box-Jenkins approach and structural models. The X represents the structural part of the ARIMAX. Can the covariates in X be lagged, or are these meant to ...
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How to determine $p$ and $q$ in my ARIMA model from these ACF and PACF plots?

I have converted stock price index time series data into stationary series by differencing once, so $d=1$. I also have removed the seasonal component of the data. I want to develop a model for ...
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1answer
23 views

How to choose the lag between the predicated and explanatory variables

Building on the question I asked here. If I wanted to determine which forward lag between oil price and number of cars bought best reflects a strong relationship, does it make sense to just compare ...
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1answer
19 views

Applying AIC to determine appropriate ARIMA model

If I somehow know that a variable $Y$ is explained by an ARIMA process, and I know the number of times that the observations must be "differenced" to obtain a stationary series, I have read that it is ...
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40 views

Lagged dependent variables, bias and consistency

I am working through Christopher Dougherty's Introduction to Econometrics, and am struggling to fully grasp the consequences of lagged dependent variables in terms of bias and consistency. The key ...
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19 views

How to choose number of lags i Poisson regression?

I'm working with a dataset containing game data from one season in NHL. My goal is to create a Poisson regression model that consist of the most important variables that explain why a player produces ...
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13 views

Estimating a changing transit time between inputs and output

I work with a chemical process in which there is a time lag between the inputs (raw material quality and cooking parameters) and the output (final product quality). The problem is that the time lag ...
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25 views

How to compromise between using a lagged dependent variable and observation loss

I am working with panel data of several thousand observations in five time periods. As I have a strong reason to believe that past values of the dependent variable (DV) affect subsequent values of the ...
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0answers
88 views

How many lags to use in ADF test?

So I've ran a ADF test on my data multiple times with different lags and all up to a lag of 4 have a p-value below .05. So in this case how many lags do you decide to use? Could this also provide a ...
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1answer
32 views

Omitting certain time periods in VAR

I am using a vector autoregression with a monthly lag, and wish to not include certain months, as they are outliers in my analysis and may distort findings. Is estimating such a VAR (using OLS, then ...
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26 views

ARIMA predictors - clarification

I'm working on multivariate time series (still), and would like some clarification. I was reading this site: Duke Forecasting and I came across this statement: "We see that the most significant ...
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1answer
67 views

SARIMA modelling results. Choosing the right lag for seasonal data

After differentiating a monthly climatic data with a lag of 12, and being sure that, at least, one more differentiation will turn my series into white noise (ndiffs ...
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38 views

Stationarity in an ADL model

In an ADL model, in order to be consistent do we require both the IV and DV to be stationary? In particular in a process of the form: $$\Phi(L)y_t=\Theta(L)x_t+\epsilon_t$$ where $\Phi(L)$ and $\...
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1answer
35 views

Lags in Cross-Correlation function

Having the following CCF from the residuals of 2 modelled series, which lags should be taken into account to explain how positively or negatively $x_t$ and $y_t$ are correlated? Zoom out
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47 views

Including future values in a regression

If I have a variable that depends on its expected value in the future among other things (for example inflation), would it be possible to regress it on future values of the dependent variables (in a ...
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1answer
231 views

Need help with lag features in regression forecasting

I am trying to build a timeseries prediction model. The problem is that I'm still hesitant whether I should use lag features or not. What makes me wonder is the fact that the training data has these '...
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2answers
45 views

For autoregressive time series modeling, does the AR(p) regressors have to be in order despite insignificance?

I am trying to fit a time series model using data of auto sales (DAUTONSA from FRED) and noticed that there is evidence of serial correlation. I’ve tried fitting a model with 4 lags but noticed that ...
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1answer
40 views

How can I use polynomial distributed lag models for longitudinal categorical exposure?

I have SHS data from 13 time points and i want to describe the relationship between this cumulative exposure and health outcome after the 13th time point. It seems the ...
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58 views

Dynamic regression with lagged explanatory variables

I have data on unemployment from 2006 to 2018(monthly) and have fitted a $sARIMA(3,1,1)(0,1,1)_{12}$ that has decent forecasting abilities, however I want to try to improve the forecasting abilities. ...
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2answers
67 views

Are there limitations to backshift operator algebra in Time Series Analysis?

After algebraic gymnastics with the backshift operator $\text{B}$ (i.e., $\text{B}y_t=y_{t - 1}$) I thought I found a convenient dynamic representation for a nonlinear model, but the representation ...
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53 views

Interpretation of ARDL coefficient when lags switch signs

I usually see that when in an ARDL model lags for a particular variable are significant and consistently positive it implies that the series is persistent. The intuition is that if the coefficients ...
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1answer
38 views

Using lagged explanatory variables to forecast future value of depended

Is there a way or method to use older values (lagged) of independent variables with alternative lags to explain current value of dependent variable? For time series specific
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16 views

Should I use a difference-in-difference method for migration flows and average unskilled worker incomes or a lagged DV?

I am using data from a variety of sources to measure if migration inflows lead to an increase in unskilled worker wages. I am controlling for number of illegal immigrants, migrant unemployment, etc. ...
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55 views

Dealing with a one month lag in a time series

I have this kind of data: ...
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3answers
492 views

XGboost for Time series - using lag of target variables

I'm trying to make a time series forecast using XGBoost. I have already added many time related variables - day_of_week, month, week_of_month, holiday. I want to add lagged values of target variable ...
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1answer
71 views

Is the optimal lag length for the Hansen and Hodrick and Newey West robust standard errors the same?

Is the optimal lag length for the Hansen and Hodrick and Newey West robust standard errors the same? I have read in Greene that the optimal is $T^{1/4}$ for Newey-West, is this the same for Hansen ...
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1answer
193 views

Vector Autoregression - How do we choose the correct value of p?

I am following this article: https://otexts.com/fpp2/VAR.html#fn24 ...
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18 views

Different set of predictors significant for different sample sizes - how to interpret results?

So I am trying a GARCH framework with external regressor(s) to predict returns. The external regressor, $y$, intuitively has useful lags that could predict the response. I'm slowly accumulating data ...
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20 views

eviews augmented dickey fuller lag selection

Can someone tell me how does eviews calculate teh optimal Schwarz lag selection? I did a quick search this https://en.wikipedia.org/wiki/Bayesian_information_criterion is this the same method that ...
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1answer
76 views

How to calculate the lag of a prediction of a time series?

I am trying to learn a time series (Mackey-Glass) using a neural net. In order to see if there has been success in the learning process, I am looking at the correlations between the predicted and real ...
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1answer
49 views

How can i choose the optimal lag in GARCH-MIDAS?

I have to choose individual GARCH-MIDAS models for some variables. But the BIC value continues to decrease as I increase the lag (its even the case for k=70 and more which is unrealistic) so the BIC, ...
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83 views

How to determine the bandwidth parameter? Newey-West

How to determine the bandwidth parameter? Following from the below paragraph is it easy to understand how Newey and West determine the bandwidth? "The heteroskedasticity consistent estimator (HCE) ...
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74 views

Logistic regression with lagged independent or explanatory variables without lagged dependent variable

I want to perform regression with a binary dependent variable (no lag) and independent variables with 3 lags. I am new to this field and so far the models that I saw included terms corresponding to ...
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1answer
46 views

Including lagged dependent variable as independent variable in linear probability model

I am trying to replicate the Intention To Treat (ITT) analysis in one paper with two-period survey data(baseline period and followup period) and I am trying to estimate the linear probability model ...