# 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 the time lag is non-integer in ACF plot? [duplicate]

I'm plotting the ACF of a time series. ...
1answer
44 views

### Benefits of using lag operator notation as opposed to subscripts

I have a number of random variables that start at some initial state and then vary along time, I am planning on doing relatively straightforward analysis (nothing that the use of lag operators would ...
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### Random walk and variance [duplicate]

If yt is pure random walk the variance Var(yt-yt-k) will (increase, decrease or remains constant) as lag k increases?
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### Lag length for a VAR model

I am working on 2 time series Sentiment and Return(from stock). They are daily data excluded weekend. Both are stationary at I(0). Lag lengths for Sentiment is 22 and Return is 2. What lag length ...
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### Lagged features in time series feature engineering

I understand the value of using lagged features in time series analyses, but conceptually I've still quite a bit to learn. When creating lagged features for modeling purposes, should I remove the rows ...
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### Expressing the Complete Data Likelihood for Factor Analysis Model with VAR(1) errors

I am working on a model related to that below. For $t=1, 2, \ldots, T$ the vector of $N$ observations, $X_t$, is related to a vector of $K$ latent factors, $F_t$, via the observation equation X_t = \...
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### Correcting for auto-correlation when using a lagged DV in the regression

I am conducting a regression where in I have data at the quarterly level for 19 companies (I have data ranging from 2007-2019 so about 30-50 quarters for each company). My regression model in STATA ...
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### Interpreting differing results from correlation plots, correlation matrix, GLM, and Lagged linear model

I'm trying to get some advice on the results of the following statistical tests. I'm including the data and the code for said steps for clarity. I'm trying to analyze whether a strong YOY (young of ...
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59 views

### Can I apply both differentiation on lag 2 and two differentiations on a time-series?

I'm working with time-series and I have seem two approaches from different teachers. One of them used the following code in Python: ...
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### Test for lagged time series analysis

I have two time series and there is good reason to believe that one of the has a lagged effect on another one. i.e they move inversely. What are some time series tests I could perform to Validate ...
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### Autocorrelation to measure lag effect

Is there something similar to Autocorrelation but instead of measuring "correlation of a signal with a delayed copy of itself", measuring correlation of a signal with a delayed copy of ...
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### Picking optimal lag values and intervals - multivariate time series

I'm working on my first project using time series: I have the weekly stocked amount of a product and I have to predict if it will go up or down (binary), looking for seasonality, I started trying this:...