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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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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25 views

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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9 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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12 views

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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5 views

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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29 views

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:...
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54 views

Interpretation of CCF plot

I am using ccf on two univariate time series to find out which variable is leading and which is lagging. My result is something like shown in the plot Can I really tell anything from this plot? Does ...
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85 views

What is the meaning of “lag” in Box.test (Ljung-Box test)

I want to conduct the Ljung-Box test on residuals of the ARIMA model with Box.test(e, type = "Ljung-Box", fitdf = degrees_of_freedom) where N = 3064, ...
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11 views

Estimate rolling distribution of sign-up durations from time series?

Conceptual question: Suppose I have a times series (500 entries or so) of daily number of individuals signed up on a list, from the start of this list (i.e. zero people on it in the beginning). At any ...
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92 views

What model to use for analyzing age frequency data? issues with linear model in R

I have this data in R and I'm trying to statistically analyze whether high age zeros (column n) in each year is significantly correlated to the next years age 1 fish (n.1), and the next years age 2 ...
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23 views

Fixed effects with panel data vs including lagged variables with cross section data

I have panel data with many groups $i$ and two time periods $t$. I want to know the effect of a binary treatment $D$ on a continuous outcome $Y$. Some groups go from untreated to treated, while others ...
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37 views

Modelling the effect of crises on unemployment

We want to estimate the effect of crises on a country's unemployment rate and distinguish the strength of this effect according to the debt level in a country (i.e. via the interaction effect crisis x ...
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13 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): ...
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16 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#...
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35 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 ...
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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 ...
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72 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 ...
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27 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, ...
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1answer
41 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 ...
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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. ...
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16 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. ...
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1answer
115 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 ...
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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 ...
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14 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+\...
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40 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) ...
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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 ...
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25 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 ...
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24 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 ...
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20 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 ...
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24 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 (...
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35 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 ...
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64 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 ...
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22 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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16 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, ...
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26 views

The lag length in Granger causality test

This problem is already solved
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1answer
82 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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24 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 ...
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63 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, ...
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84 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 ...
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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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162 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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1answer
26 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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41 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 ...
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129 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 ...
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31 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 ...
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32 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 ...
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55 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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101 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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81 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 ...
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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 ...

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