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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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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
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 ...
231 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 '...
45 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 ...
40 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 ...
58 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. ...
67 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 ...
53 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 ...
38 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
16 views

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. ...
55 views

Dealing with a one month lag in a time series

I have this kind of data: ...
492 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 ...
71 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 ...
193 views

Vector Autoregression - How do we choose the correct value of p?

I am following this article: https://otexts.com/fpp2/VAR.html#fn24 ...
18 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 ...
20 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 ...
76 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 ...
49 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, ...
83 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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