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

5 messages · Michael, Matthieu Stigler, Charles Ward +2 more

Original
Michael
# 
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!
Matthieu Stigler
# 
Michael a ?crit :
You can use cross-correlation:
a<-rnorm(100)
 > b<-runif(100)
 > ccf<-ccf(a,b)
plot(ccf)
ccf$acf

Or use some VAR from package vars.

Bests Mat
Charles Ward
# 
Google "Granger Causality"
or use Wikipedia and you will find a reference to testing for Granger
Causality using R

CW

On Thu, Jan 22, 2009 at 4:38 AM, Matthieu Stigler
<matthieu.stigler at gmail.com> wrote:
Sylvain Barthelemy
# 
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 Barth?l?my
Research Director, TAC
Applied Economic & Financial Research
Tel: +33.(0).299.393.140 - Fax: +33.(0).299.393.189
E-mail: barth at tac-financial.com
www.tac-financial.com | www.sylbarth.com


-----Message d'origine-----
De?: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] De la part de Michael
Envoy??: jeudi 22 janvier 2009 02:18
??: r-help; r-sig-finance at stat.math.ethz.ch
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
3 days later