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.

Filter by
Sorted by
Tagged with
0
votes
0answers
9 views

Temporary effects in a 2SLS with panel data

I have a panel-data set as follows, with which I want to run a Two-Stage Least Squares (2SLS): ...
0
votes
0answers
14 views

Difficulty carrying out Automatic Portmanteau Test on R

I'm trying to replicate part of the empirical analysis of the following paper: https://www.tandfonline.com/doi/full/10.1080/23322039.2020.1719574#...
0
votes
1answer
16 views

Problem with bayesian implementation of a Time-lagged Linear Model in PyMC3

I am trying to build a GLM of a time-series y(t) with 2 predictor time series x1(t) and x2(t), where t is in days. But the second time-series influences y(t) with an unknown lag of l days. I was ...
0
votes
0answers
14 views

What is the meaning of crossed Lag_plot?

Good Morning. I have a theoric-practical question. Let say I’ve got a seasonal serie without trend. I’ve tried to remove any covariances and fit an arima model. I’ve just tried several options and ...
1
vote
2answers
52 views

Variance of an AR and ARMA process derived from lag notation

This question concerns the asymptotic variance of an $\text{ARMA}(p,q)$ process. Suppose that an $\text{ARMA}$ process can be rewritten as an $\text{MA}(\infty)$ process, and from this we can in ...
0
votes
1answer
23 views

Difference in difference with delayed effect

Imagine I have a policy intervention where I expect a one-period lag between when the intervention happens and when the intervention's effect shows up in my outcome variable. Something slow to adjust, ...
1
vote
1answer
21 views

How to get first difference of count variable for poisson regression

Poisson regression using Panel data requires the dependent variable ($y_{it}$) to be a non-negative count variable. I need to take the first difference of the dependent variable to deal with reverse ...
0
votes
0answers
10 views

How do I interpret lags with opposite sign in ARIMA?

I was running an ARIMA model and got something I'm a bit confused. So I ran an ARIMA just like the result below is showing. The thing is, I have L1 and L2 really close and with opposite signs. ...
0
votes
0answers
13 views

Panel unit root tests - How to determine the lag order?

I am using Pesaran's panel unit root test in the presence of cross-sectional dependence. How do I specify the lag order? I find that the results of my tests changes when I change the number of lags. ...
1
vote
1answer
74 views

Lagged values in a Lasso regression

While working on the statistics for my thesis, I became confused while building up my model. I am currently working on a forecasting model with the use of a LASSO regression. The model is build as ...
2
votes
1answer
24 views

Differences between a function of lag and a function of time

I start learning time-series analysis. I started by a tutorial, and found that a stationary process has two conditions: 1-The mean must be constant. 2- Covariance must be a function of lag not a ...
1
vote
0answers
12 views

AR(p) by iterated vs. lag method. Different results

Reading "Applied Econometrics Time Series" By Walter Enders I am trying to derive the stationary AR(p) model as he does on page 58, fourth edition. This is the AR(P) model \begin{equation} y_t=a_0+\...
0
votes
0answers
19 views

DLNM: Crossebasis functions choice problem

I want to study non linear and delayed effects of temperature on mortality in different areas using DLNM pachage of R and fitting a generalised linear model. More specific I have temperature and ...
0
votes
0answers
18 views

Modelling panel data - approach for dealing with missing values when analysing in wide format

My question concerns the appearance of missing values in panel data when it is converted from long to wide format. The model I am fitting (non linear distributed lag model using R package dlnm) ...
0
votes
0answers
14 views

How to estimate the grandparental influence on the intergenerational transmission of social status?

I do have an educational status for individuals from different families over three generations (y, yparents, ygrandparents). To determine the two-generational social mobility, I run a simple linear ...
1
vote
0answers
24 views

Which Method for making a time series stationary would work better?

If there is a possible multiplicative time series (seasonality increasing marginally over time) that has a large trend component and a smaller seasonal component, would a Lag 1 difference to remove ...
0
votes
0answers
20 views

How do I know which of the two time series is lagging and which is leading?

I have two time series that are highly correlated, but occasionally one moves out of line with the other. Someones the other will follow and catch up with the first. Sometimes the first will revert ...
0
votes
0answers
15 views

Lagged (in)dependent variables: 2 time periods

Summary I have a dataset with observations regarding an industrial process in two time periods. My goal is to find predictors of future performance, and I am wondering whether panel data regressions ...
0
votes
0answers
20 views

Autocorrelation in large panel of short time series (large N, small t)

Context: I have a large panel of short time series that represent entities of the same type. They are autocorrelated in that I get nice correlations if I take the (Pearson) correlation between (...
0
votes
1answer
31 views

Optimal Lag Selection Indicates Lag 98

I am trying to identify the optimal lag for my multivariate time series and currently I am getting the optimal AIC at lag 98. I have never seen such large optimal lag is this correct? Note that my ...
0
votes
0answers
41 views

How to choose optimal lag length VAR Model AIC SC don't work

Good afternoon, I'm currently confronted with a quagmire. I have weekly data (around 500 observations) for two economics time series and I want to find the optimal lag length for a VAR Model with ...
0
votes
0answers
21 views

How to estimate the predition power of x(t) on y(t)?

Suppose I have two time series: y(t) and x(t), with y(t) the time series I want to predict and x(t) as the input for the prediction. My question is straightforward. How do I know if x(t) has the ...
1
vote
0answers
11 views

Dynamic time warp z score normalisation aint working

I have data that looks like this A bit of background, these are soil moisture graphs of different depths. I wish to investigate how long it takes for water to drip down from one depth to another, ...
0
votes
0answers
26 views

The lag length in Granger causality test

This problem is already solved
2
votes
1answer
74 views

Forecasting with after x lags values

I like to build a forecasting model where am allowed to use only l lagged values. That means the model should forecast only l lagged values like $y_{t}$ can be only predicted using values $y_{t-l}$, $...
0
votes
0answers
23 views

Looking for more subtlety in time-series cross correlation

I am looking at comparing small time-series (~5 events in each series). I want to see, firstly, how correlated the two sets are. Then, I want to introduce some "lag" into one of the series and then ...
0
votes
0answers
49 views

Testing for Nickell Bias

I'm running a lagged dependent variable regression with panel data. There are 5 panel units and 20 years of data. I'm also including unit dummy variables. I know this is potentially a problem, ...
2
votes
0answers
54 views

How to choose maximum lag length for VAR selection

For vector auto-regression models, I understand the optimum lag length is chosen using AIC, BIC, Hannan-Quinn criterion, etc. But how do you select what your maximum lag length should be? lag.max=10 ...
0
votes
0answers
15 views

How apply 2SLS in order to find estimates of the SEM's model , provided that the lag values of the variables are used?

How should I apply 2SLS in order to find estimates of the model of a system of simultaneous equations, provided that the lag values of the variables are used? For example, there is the following ...
0
votes
1answer
94 views

Selecting lag order for VAR model with *weekly* seasonal data

If this has been asked elsewhere, I apologize - I've looked around and while there is lots of discussion about selecting lag order for VAR models, I haven't found anything addressing my specific ...
1
vote
1answer
19 views

Addition or subtraction of lag terms in the autocorrelation expectation formula?

I have some confusion about autocorrelation. In my notes I have defined, $$r[k] = E[y[n]y^*[n-k]]$$ Is this the standard way of writing autocorrelation? What are conditions such that $r[k] = r[-k]$?...
1
vote
0answers
34 views

How to estimate the order of the ARDL model in R?

I have to build the best fitting ARDL model with d(log(GDP)) as the dependent variable and d(int. rate) as a regressor and use AIC for the lag selection with maximum 12 lags for the regressor and 12 ...
0
votes
0answers
97 views

Lag selection for Newey-West estimation in a panel data framework with Stata

I have a panel dataset with N=21 countries and T=8 two-year periods which are mechanically correlated (2010-2011, 2011-2012, 2012-2013 and so on...). Given this structure, I thought I should have ...
0
votes
0answers
26 views

Minimizing AIC for VAR Model Results in Many Insignificant Lags

I have a pair of cointegrated ETF's. Both ETF's track the exact same underlying. SPY and IVV. I am using the vars package in R to build a VAR model and eventually a VECM. When I select the lags ...
4
votes
0answers
27 views

when fitting a regression model to a time-series, can I use lagged values of the time-series itself?

I'm fitting a regression model $y_t$ to a time series $x_t$ (not a dynamic model involving ARMA terms!). I saw that useful predictors to put in my model are $t$, seasonality variables and lagged ...
1
vote
1answer
43 views

Using lagged independent variable in place of its current value

I am estimating the impact of migration on a binary outcome (employment) using Diff-and-Diff with multiple periods in an unbalanced panel data (with non-migrants as a control group). To this end, one ...
3
votes
0answers
79 views

Portmanteau Test for VAR

I am new into working with VAR models and have a fundamental question regarding model diagnostics. As suggested in Kilian and Lütkepohl (2017, pp. 52-53), I would like to run a Portmanteau test for ...
1
vote
0answers
71 views

Intuition about Bias in LDV / DLM with Fixed or Random Effects

Problem I am failing to obtain an intuition for why estimates from a time series model that includes a lagged dependent variable as a predictor and random (or fixed) effects for individual units are ...
0
votes
1answer
47 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 ...
3
votes
1answer
66 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 ...
0
votes
1answer
75 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-...
0
votes
0answers
63 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 ...
2
votes
0answers
27 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 ...
0
votes
0answers
38 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 ...
0
votes
0answers
135 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 ...
2
votes
0answers
23 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 ...
1
vote
0answers
50 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 ...
0
votes
0answers
22 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. ...
0
votes
0answers
99 views

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 ...
2
votes
1answer
84 views

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 ...

1
2 3 4 5 6