Linear Dynamical Models with Time Lags

Prasolov, A.V.

doi:10.1016/s1474-6670(17)33050-1

Cited by 1 publication

(1 citation statement)

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“…The optimal time lag might also be different from the time one should allow to pass in order to make a precise prediction of future states (e.g., the exact level of stressors and stress symptoms). This is a question of optimizing forecasts (cf., Prasolov, 2001) by using several reasonable past variables to predict future variables, but does not address the question of when the effect of one particular past variable X reaches its maximum value in predicting future Y. Our study complements these questions by addressing the different, but important, question of the maximum lagged effect of X on Y.…”

Section: Discussionmentioning

confidence: 98%

Optimal time lags in panel studies.

Dormann

Griffin

2015

Psychological Methods

527

397

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Cross-lagged regression coefficients are frequently used to test hypotheses in panel designs. However, these coefficients have particular properties making them difficult to interpret. In particular, cross-lagged regression coefficients may vary, depending on the respective time lags between different sets of measurement occasions. This article introduces the concept of an optimal time lag. Further, it is demonstrated that optimal time lags in panel studies are related to the stabilities of the variables investigated, and that in unidirectional systems, they may be unrelated to the size of possible true effects. The results presented also suggest that optimal time lags for panel designs are usually quite short. Implications are (a) that interpreting cross-lagged regression coefficients requires taking the time lag between measurement occasions into account, and (b) that in much research, far shorter time lags than those frequently found in the literature are justifiable, and we call for more "shortitudinal" studies in the future.

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Section: Discussionmentioning

confidence: 98%