3
$\begingroup$

Given two time series data. I remember there is one statistics that tells you one is the leading factor while the other is the lagging factor. However, i do not remember the exact details. correlation is part of its name. I wonder if any one here could help me out. Thanks.

$\endgroup$
3
$\begingroup$

You may want to take a look at lagged correlation or cross correlation. Lagged correlation refers to the correlation between two time series shifted in time relative to one another. This measure is useful for studying whether a lagged time series $x_{t-k}$ can be viewed as a good predictor for $y_t$. If you are familiar with R, then you may find the following two links on cross correlation, lagged regression useful: Cross Correlation Functions and Lagged Regressions and Cross-correlation as Leading indicator.

As suggested by Professor Eric Zivot, we can also generalize the approach as follows: one can estimate a vector autoregression involving your variables of interest and then test for Granger non-causality. See the vars package and in particular the causality() function.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.