All Questions
Tagged with model-selection lags
58
questions
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25
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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?
- 1,140
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0
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56
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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 ...
- 367
1
vote
1
answer
99
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How many lags to include? (Temperature data set)
I have a time series of daily temperature with autocorrelation that looks like this:
Of course, temperature is heavily autocorrelated. When looking at the partial autocorrelation plot, lags are ...
- 53
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1
answer
253
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Choose optimal lags in months for annual data
I try to forecast annual monthly price changes using annual monthly X changes. To choose the best lag, I run the VAR model and aim for the minimal AIC value. The problem is that the price is ...
- 111
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168
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Johansens Cointegration test - VARselect output showing all Lag 1's
I am running a cointegration test on 4 input variables over 1 year and when I run the VARselect it outputs:
...
1
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0
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76
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Interpret high p and q orders of GARCH models
I am currently working with GARCH models (sGARCH, E-GARCH and GJR-GARCH). My question is very general. I chose my p and q orders with the help of AIC criterion. The best models are sGARCH(2,3),
E-...
- 11
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votes
1
answer
28
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If a time-series achieves max-likelihood at GARCH(1,1), would EGARCH, or other GARCH variations achieve global maximum likelihood at p=1, q=1?
If I find that a time-series fits GARCH(1,1), would EGARCH, or other GARCH variations still be X-GARCH(1,1)?
user318514
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35
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ACF and PACF Plot
I am a first year stat student. We are tasked to create a SARIMA model from trial and error using ACF and PACF plot. Now here is my generated plot:
Now I am trying to understand the plot but I don't ...
- 1
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730
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How to determine the optimal lag order of asymmetric innovation for a GARCH?
In the python package arch_model, there is an option with which we can give the "lag order of the asymmetric innovation" when we estimate GARCH model. Are there any ways to find the optimal ...
- 569
2
votes
1
answer
1k
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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 ...
- 23
0
votes
1
answer
227
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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 ...
- 26
2
votes
0
answers
368
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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 ...
- 21
1
vote
2
answers
2k
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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 ...
- 21
1
vote
0
answers
390
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 ...
- 23
2
votes
1
answer
6k
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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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