lagged variable

  1. S

    Treatment of Coefficients from Regression Using Lagged Independent Variables

    I'm running a regression on two time series of financial returns, one dependent and one explanatory/independent. For the explanatory time series, I'm creating several lagged versions and using all of them as independent variables in in a multiple linear regression. My question is, how do I...
  2. M

    Lagged values in a LASSO regression

    Hi all, 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 follows: the unemployment rate is the dependent variable and as exogenous variables I...
  3. U

    How to run a lagged (time series?) model in R?

    Hi there, I am wanting to run a lagged model where a predictor (X) at T1 is regressed on an outcome (Y) at T2, controlling for Y at T1 plus 2 covariates at T1, over a total of 20 time points (so as to test whether X causes Y). I could use a cross-lagged SEM in Lavaan, but most papers I've...
  4. J

    Centering Variables in Interaction with Lagged Dependent Variable

    I have to run this regression: Y (t) = a + b1 X (t-1) + b2 Y (t-1) + b3 X (t-1)*Y (t-1) Y at time "t" is regressed using as IVs X at time t-1, Y at time t-1 (lagged dependent variable) and the Interaction of X at t-1 and Y at t-1. Both X and Y are continuous variables. I need to center...