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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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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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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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31 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 ...
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21 views

Selecting lag length for VAR Model. Differences or Levels?

I'm currently testing for optimal VAR lag length using the information criteria. I found that my variables are non-stationary (i.e. they have to be first differenced). When I identify the number of ...
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29 views

Determine how long the effect of x on y may last in time series data

I have a time series dataset that contains variable x and y per month (180 rows). x represents incidents that happen infrequently and y is a continuous variable. However, when there is some incident y ...
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21 views

ARIMA function in R: Is it right to include lags of the dependent variable in xreg?

The ARIMA function in R includes an xreg option to include covariates/predictors. Is it possible (or right) to include the lagged dependent variable as a covariate in this model? If the lagged ...
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9 views

Panel Dynamics: Lagged Indep. Vars versus Sum of Future Dep. Vars

If the following standard linear model is the "true" data generating process: $y_{it} = \alpha + x_{it}\beta + x_{i(t-1)}\beta^L + \epsilon_{it}$ where $\epsilon$ is an i.i.d. random error, then how ...
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1answer
39 views

Determine paramaters for SARIMA model

I have the following timeseries with a frequency of 12 (months). Since there is both a trend and seasonality, I differenced the timeseries. To determine the parameters p, q, P and Q for the SARIMA(p, ...
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40 views

ARIMA lag order selection by auto.arima

I use the funtion auto.arima in my dataset auto.arima(Clean_Ts_Dados,trace = T, stepwise = F, approximation = F) and got ...
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65 views

Estimating lag order in Granger causality test

I have a weekly revenue from selling products, named Chicken and Egg. I am trying to understand whether purchasing Chicken Granger-causes customers to buy Egg or vice versa. I don't have a Ph.D. in ...
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1answer
38 views

Clarifying lag number selection in AR,VAR, VECM etc. models

When it comes to optimum lag length selection, we are supposed to comply with certain information criteria such as Akaike, Schwarz etc. As far as I know, either of them suggest the proper lag number ...
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23 views

Poor error control in hierarchical linear models with lagged, within-person-centered independent variables

I'm interested in assessing the performance of a multi-level model (aka hierarchical linear model, aka linear mixed effects model) when examining time-lagged associations. My interest is in making a ...
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26 views

Introducing multiple lags of DV as IV in regression

Background - I have to estimate the impact of different promotional channels on the sales of a product. We don't have sales so technically it is order data at a zip level. Also, the product is highly ...
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1answer
29 views

Is there stationarity?

I'm trying to analyze a financial time series, these are the ACF and PACF returns graph. What could I say? Lag–9 and lag–15 are significant? I would say they are not, and there is not weak ...
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4answers
218 views

How to properly utilize lag and errors in Time Series modelling

I have a dataset of 2 variables that should be heavily correlated. There are some underlying reasons why this set has an R^2 of only 0.620 when modeled in a simple Linear Regression; the independent ...
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100 views

Lagged Dependent variable in OLS

I have a question about one of my models. I am sorry if I am using Terms wrongly, as I am part of the management research field and this quite often leads to different terminologies. I try to model ...
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461 views

Multivariate ARIMA modelling in R

I am currently using the Marima package for R invented by Henrik Spliid in order to forecast multivariate time series with ARIMA. Overview can be found here: https://cran.r-project.org/web/packages/...
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1answer
58 views

Lag between forecast and actual value without lagged dependent variable as features

I'm trying to predict a time series using a model-tree (Cubist) and I'm getting a strange behavior, I think. This is a stock market data but I'm not using the raw level of the stock price but change ...
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1answer
204 views

Which test for lagged effect of one time series on another?

I have a data set with three variables: year (21 consecutive years) and two time series which are count data (count1 and count2). I want to know whether count2 correlates with some time delay lag with ...
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1answer
45 views

Questions about ARIMA

I am estimating this model: But I want to do some analysis of the variables before. In particular, I am interested in fitting some ARIMA models. First, I am doing it for the inflation rate in Mexico. ...
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1answer
197 views

Showing the covariance and autocorrelation functions of a stationary time series are symmetric around 0

I need to show that the covariance and autocorrelation functions of a stationary time series are symmetric around zero. From my understanding, this entails $$ \gamma(h) = \gamma(-h) $$ $$ \rho(h) = \...
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97 views

Lag of dependent variable as a explanatory(independent variable) for sales forecasting

I am working on a kaggle competition https://www.kaggle.com/c/competitive-data-science-predict-future-sales/kernels ...
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1answer
36 views

ACF and PACF seems to be pointing to two different processes

I have the following ACF and PACF plots for a time series. I'm very new to time series so I might be interpreting this wrong, but it seems like the ACF is indicating an MA(1) process because it tails ...
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What's the reasoning behind non-seasonal ARIMA model lag-order bounds?

I read some papers on the non-seasonal ARIMA model, and the consensus I've seen is that for ARIMA(p, d, q), p and q should not be greater than 3, maybe 5. What's the reasoning for that? Is it for ...
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Presenting results from a regression with several lags of several independant variables

I have an OLS regression with several independent variables lagged several times. This means I have many coefficients and standard errors to present, making up a lot of rows in a table. A standard ...
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28 views

Distributed lag model approach [closed]

I want to analyse the causal relationship of chinese FDI on the commodity import from African countries using a distributed lag model. So the hypothesis would be that an FDI inflow in year t has a ...
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1answer
33 views

OLS with Lagged DV

I am interested in building an OLS model with a lagged (lag 1) DV as a right-side explanatory variable. This is relatively straightforward in R, however my problem is the rest of the data. I have six ...
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1answer
56 views

How does ARIMA function know which lag to use?

Say for an ARIMA function with orders, ARIMA(3,1,1). How does ARIMA know which lag to consider. It may not be always be lags at t-1, t-2, t-3. It could be t-4, t-15,t-22.
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150 views

GMM Lag Selection

I am estimating a non-dynamic panel model (it is a demand equation) with GMM and I use GMM since I need to instrument one of the regressors. So I have an exogenous instrument but GMM will also add ...
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1answer
146 views

Time series regression - Lags of independent variable

I am trying to run a regression that has the (logged) values of GDP per capita (PPP) for the past 15 years in a given country (in my case Sudan and Rwanda, separatley of course) as dependent variable ...
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1answer
16 views

Model for predicting delivery packages for an address

I want to predict how many number of days in the following week, an address will receive packages. So there are 8 labels, from 0 to 7. 0 means the address has no package. 7 means it gets packages ...
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1answer
652 views

How to interpret autocorrelation plot for differencing? [closed]

I'm trying to assess and remove seasonality from yearly climate data. I don't have a stats background, just fyi. My understanding is that I can use an autocorrelation plot to determine the proper lag ...
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Are Data Transformations Necessary in Multiple Linear Regression (Lagged Independent Variables) and Time Series Analysis?

I created a regression model on lagged independent variables (monthly data) for the past 4 years. Essentially, after transforming the data to make it stationary I used the ccf plot in R to determine ...
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1answer
67 views

How we can select the best number of auto-regressive terms in a time series model to avoid over-fitting

To find the best neural network auto regressive model for forecasting future values of a series with 180 month of observation I plotted ACF and PACF of series as follows Using Forecast package in R. ...
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27 views

When adding lags to an autoregressive model like this, should I add lags that are significantly different from 0?

Mike Watson is a financial analyst at a Hong Kong-based hedge fund. He is currently working on an analysis of WLL Industries, a manufacturer of auto parts. Mike wants to do statistical analysis to ...
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88 views

Engle Granger Error Correction Model - Normality, heteroskedasticity and Autocorrelation tests

I'm building an Error Correction Model using the Engle-Granger approach with the following interest rates data: Observations: 230 Periodicity: Monthly I have the following model: $$\Delta R_t = \...
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1answer
32 views

Checking for a delayed effect

I am examining the relationship between rides on a subway and temperature. How can one calculate a correlation with a delay? For example, I want to see if rides increase after an increase in ...
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2answers
185 views

Lag between Forecast and Actual Value

I am using a RandomForest to forecast the power in a wind turbine. The results are improving, but i'm getting a slight "lag" between the forecast and the value itself. Is there any way to correct this?...
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114 views

Lag length for Johansen test

As the Johansen test for cointegration is lag-sensitive, one has to determine the optimal lag length. A usual approach (see also here: What is the correct procedure to choose the lag when performing ...
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25 views

1-week time lag in cross-lagged panel analysis

I am new to using cross-lagged panel analysis and was planning to use a 3-wave model to assess attitudes about social support, perceived social support, and depression. I have a 1 week lag between ...
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0answers
46 views

Lbq test and ARMA results, Should I include lags?

I have a daily return time series, which is stationary(proofed by ADF test) , has no autocorrelation up to lag10(proofed by lbq test with lag10) and has ARCH effect(proofed by LM test). My initial ...
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1answer
301 views

Determining the lag order of an autoregression model

I'm trying to fit my time series data, which have 37 entries, with an autoregression model. The data look like: I just loop over 1 to 18, each of which is used as the order of AR model. A plot of the ...
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104 views

Incorporate a lag effect into a linear mixed regression model

My data: I have 80 years of repeated measures data (forest growth rates) that unfortunately were not sampled regularly. My understanding is that this precludes me from using time series analyses (at ...
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37 views

The role of the lagged dependent variable as a predictor

I am familiar with the distributed lags and the issues in estimating the regression model with the lagged dependent variable as one of the predictor in the equation. Besides those issues, now and ...
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0answers
16 views

Normalization of different data sets

I am trying to merge different data sets after normalization (0-1), which were on different scales. In order to eliminate the effects of GDP growth and GDP per capita, i took lag values of former and ...
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2answers
116 views

How do I calculate time lag between true value and predicted value

I have a prediction model to predicted time-series data. the result is as below: you can see that the predicted value have lag compared to label. Is is possible to calculate a value to tell me how ...
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124 views

What is the best way to add lagged features for time-series predictions with a long prediction period?

I am currently dealing with a time-series problem and want to add lag feature(s) to my data. The point is, that I should predict 1 month of daily sales based on 4 months of training data. So if I add ...
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1answer
1k views

Cross-validation for timeseries data with regression

I am familiar with "regular" cross-validation, but now I want to make timeseries predictions while using cross-validation with a simple linear regression function. I write down a simple example, to ...
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0answers
11 views

Adding LDV to I(1) model

I encounter this theoretical problem while working on my model. After performing Box-Jenkins, I decided to choose I(1) model since it outperformed IMA(1,1), ARI(1,1), ARIMA(1,1,1) in terms of SIC. ...
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1answer
177 views

Johansen Test - What is a lag?

I am new to the Johansen Test, have been using the ADF test but due to its limitations I am trying to switch over. I have taken data (1 hour bars) for 4 symbols and passed it through this function ...