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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16 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 ...
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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, ...
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The lag length in Granger causality test

This problem is already solved
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63 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 $y_{t-l}$, $...
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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 ...
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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, ...
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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 ...
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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 ...
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27 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 ...
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16 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 $r[k] = r[-k]$?...
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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 ...
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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 ...
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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 ...
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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 ...
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24 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 ...
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47 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 ...
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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 ...
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41 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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33 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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64 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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38 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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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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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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63 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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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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33 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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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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38 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 ...
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59 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 ...
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42 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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102 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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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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95 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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21 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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24 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
20 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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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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27 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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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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103 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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35 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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86 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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59 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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38 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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48 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
442 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
48 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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