how to study the lead and lag relation of two time series?

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how to study the lead and lag relation of two time series?

LosemindL
Hi all,

Is there a way to study the lead and lag relation of two time series?

Let's say I have two time series, At and Bt. Is there a systematic way
of concluding whether it's A leading B or B leading A and by how much?

Thanks!

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Re: how to study the lead and lag relation of two time series?

Jim Porzak
Try a search on
"cross correlation" "time series"

HTH,
Jim Porzak
TGN.com
San Francisco, CA
http://www.linkedin.com/in/jimporzak
use R! Group SF: http://ia.meetup.com/67/


On Wed, Jan 21, 2009 at 5:17 PM, Michael <[hidden email]> wrote:

> Hi all,
>
> Is there a way to study the lead and lag relation of two time series?
>
> Let's say I have two time series, At and Bt. Is there a systematic way
> of concluding whether it's A leading B or B leading A and by how much?
>
> Thanks!
>
> ______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>

        [[alternative HTML version deleted]]

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Re: [R-SIG-Finance] how to study the lead and lag relation of two time series?

Sylvain BARTHELEMY
In reply to this post by LosemindL
Dear Michael,

David Ruelle wrote a very interesting paper on "Recurrence plots of
dynamical Systems" that you should read, and I remember of simples lead/lags
methods to detect random or determinist systems.

I think that you should take a look at this very interesting paper on
"Lead-lag cross-sectional structure and detection of
correlated-anticorrelated regime shifts": http://tinyurl.com/b6cw5m

Regards.

Sylvain

__________________________________________
Sylvain Barthélémy
Research Director, TAC
Applied Economic & Financial Research
Tel: +33.(0).299.393.140 - Fax: +33.(0).299.393.189
E-mail: [hidden email]
www.tac-financial.com | www.sylbarth.com


-----Message d'origine-----
De : [hidden email]
[mailto:[hidden email]] De la part de Michael
Envoyé : jeudi 22 janvier 2009 02:18
À : r-help; [hidden email]
Objet : [R-SIG-Finance] how to study the lead and lag relation of two time
series?

Hi all,

Is there a way to study the lead and lag relation of two time series?

Let's say I have two time series, At and Bt. Is there a systematic way
of concluding whether it's A leading B or B leading A and by how much?

Thanks!

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21/01/2009
21:15

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Re: how to study the lead and lag relation of two time series?

Jeffrey J. Hallman-2
In reply to this post by LosemindL
Yes, it's called Ocular Econometrics.  You plot both series on the same chart
and use your onboard pattern detector.  If you can't see it on the plot, it's
unlikely that any correlations you find in other ways will have much
predictive power, and that's the only kind of relationship that counts.

I know you asked for a systematic way to do this, but at least with economic
time series, experience tells me that correlations that can't be seen with the
naked eye are rarely meaningful.

I'm now ready to duck all the brickbats that are about to come my way.

Jeff


Michael <[hidden email]> writes:
> Hi all,
>
> Is there a way to study the lead and lag relation of two time series?
>
> Let's say I have two time series, At and Bt. Is there a systematic way
> of concluding whether it's A leading B or B leading A and by how much?
>
> Thanks!
>

--
Jeff

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and provide commented, minimal, self-contained, reproducible code.