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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34 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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14 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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14 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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115 views

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
18 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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28 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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9 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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24 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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64 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
59 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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31 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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31 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
78 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
42 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
29 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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47 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
62 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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28 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
29 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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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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31 views

Dealing with a one month lag in a time series

I have this kind of data: ...
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3answers
280 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
46 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
110 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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17 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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17 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
49 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
35 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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66 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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58 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
42 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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66 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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0answers
31 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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41 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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10 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
62 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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76 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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175 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
43 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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31 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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28 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
42 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
251 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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219 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 ...