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From |
David Greenberg <dg4@nyu.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Why include leads (in a model with lags)? |

Date |
Thu, 01 Oct 2009 15:30:06 -0400 |

Sometimes leads are included on the basis of the following reasoning: The future cannot cause its past, so if there is a relation between, say x[t+1] and y[t], it is not causal. Consequently it must reflect some type of non-causal relationship such as reverse causality or spuriousness. If that is the case it may raise questions about the nature of a relationship between x[t-1] and y[t]. - David Greenberg, Sociology Department, New York University ----- Original Message ----- From: Misha Spisok <misha.spisok@gmail.com> Date: Wednesday, September 30, 2009 8:47 pm Subject: st: Why include leads (in a model with lags)? To: statalist@hsphsun2.harvard.edu > Hello, Statalist! > > My question in brief is, "What does including leads in a model that > 'should' only have lags tell me?" > > My intuition is that if leads are statistically signficant, then > something funky is going on (e.g., "How could future crime rates > 'predict' current law enforcement expenditures?", or "How could future > unemployment rates 'predict' current GDP growth?"). However, > "something funky" is not intellectually satisfying. > > I am considering a model of the following form: > > y_t = b_0 + b_1*X_t + b_2*X_t-1 + b_3*X_t-2 + u_t > > It was suggested to me to use lead values of X, e.g., estimating a > model of the form, > > y_t = b_0 + b_1*X_t + b_2*X_t-1 + b_3*X_t-2 + b_4*X_t+1 + b_5*X_t+2 + > e_t > > If the coefficients b_4 or b_5 are statistically different from zero, > should this be cause for alarm? If so, why? > > Is there a command in Stata (or other references, a tutorial, etc.) > that can help me understand this (possible) problem better? > > Best, > > Misha > Using Stata 10.1 > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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