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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Can I utilise time series properties of the data, WITHOUT creating lags?
I am working on a project where the train and test sets are given to me. The data (stock returns) is time series by nature, but the point is that I cannot create lags because that would mean ...
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Interpret the PACF plot to select the correct lag (AR model order)
I want to select lag (AR model order) for the series Food price inflation.
AIC gives 4.
SIC gives 3.
And also, I print its PACF plot.
How can I interpret the PACF plot to select the correct lag?
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How to determine the optimal lag length in time series?
I am a beginner in time series analysis, and I am always having this problem of selecting the optimal lag length for my time series, especially when using machine learning algorithms for the ...
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OLS Model with Lags - logged coeff
i am building a OLS model using python, where the dependant and independent variables are lagged. This is a form of econometrics model where i want to figure out how much each independent variable ...
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In repeated measures, how to distinguish regression to the mean from a negative lagged effect?
I have repeated measures for a quantitative variable "cry" for N = 52 participants (how much you cry at a given time), there are 30 repeated measures. The values range from 0 (not at all) to ...
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Why does differencing White Noise induce autocorrelation of $-0.5$?
I am curious about the following problem. Let's have a variable given by white noise,
$$y_t \sim \operatorname{NID}(0,1).$$
Let's say we difference it,
$$\Delta y_t = y_t - y_{t-1}.$$
And now, if we ...
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Interpreting Lagged Dependent Variable in Binary Logistic Regression
I am running a binary logistic regression to test the purchasing of a gym membership in 2021 against a series of controls (ie. income, gender). Included amongst these control is a lagged dependent ...
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Can you lag a covariate in a Cox proportional hazards model?
I am using a Cox PH model to study at what point in their lives people decide to move outside of the United States. My sample is 500 people who live in the United States, and the unit of analysis is ...
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I have a significant change in my outcome with the opposite sign in the lead period. Is this an issue?
Suppose I have a negative significant effect of a variable x on y. Also negative significant effect of the lag ie variable L1.x on y . But I get a positive sign significant effect on y in the future ...
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Can bootstrap adjustment for $p$-value in AR model be applied to distributed lag model?
In Wang "Multiple testing correction in time series: rolling window analysis with applications of GWAS methods" (2022), the author mentioned that bootstrap minimum $p$-value can be applied ...
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Use KPSS test with all lags
I have a series with N observation, I want to test the whole series for stationarity with KPSS. However I noticed that when run with all lags, the KPSS test always ...
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Cross-lagged analysis. Interpretation of Coefficients and Covariates
I am currently, for the first time, conducting cross-lagged panel analyses to test for temporal precendence in the relationship between two variables. I have two questions:
How do you interpret, in ...
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How many lags of independent variables to use
I have a panel dataset (26880 observations) of individual decisions ($y_{it}$, a categorical variable) which depends on signals ($x_{it}$). I am trying to find out how many past signals individuals ...
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Lag operator and stationarity [duplicate]
I just study about time series.
I want to ask about in AR(1), why the lag operator, L, need to be bigger than 1 for zt become stationary. And also when |L|>1, it is lie outside of the unit circle ...
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My "lagged consumption" variable accounts for all the variation in my dependent variable
I chose the topic of consumption for my assignment in econometrics. My explanatory variables are interest rate, consumer credit, oil price, disposable income and lagged consumption by 1 year.
Using ...