[R] Lag selection

Spencer Graves spencer.graves at pdf.com
Sat May 28 23:55:25 CEST 2005

	  What kind of problem?  For one variable or more?

	  What have you tried?  For only a single time series, the standard 
approach that I learned from Box and Jenkins, Time Series Analysis, 
Forecasting and Control, starts by preparing both acf and pacf, both of 
which are functions in R.  If the acf shows only 1, 2 or 3 significant 
spikes, it suggests a moving average only model of the indicated order. 
  If the pacf shows only 1, 2, or 3 significant spikes, that suggests an 
autogregression only model.  If the acf shows very high autoregressions 
of all orders with very slow decay, it suggests at least one difference. 
  If both acf and pacf show reasonable, possibly oscillating decay with 
no clear cut-off, then I'd first try an ARMA(1,1), then look at the 
residuals and expand the model as needed.

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	  hope this helps.
	  spencer graves

Amir Safari wrote:

>  Dear All ,
> Is it possible to find and select the best lags for time series  in R? ( Lag Selection Problem )
> Could you please introduce a package or function for this ?
> Thanks a lot
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