Re: a time series question: autocorrelation of very large lag

MCI ha escrito:

Suppose I have 1000 daily observation of x, when i run regression of
x(t) - x(t-1) on x(t-1), r-squared is very close to 0; but when i run
x(t) - x(t-200) on x(t-200), r-squared can be as high as 0.65. (it
doesn't have to be exactly 200, just a large number around 200)

Anybody have an idea on how I can further explore this? (does this
imply that x is mean-reverting, but at a very slow speed?)

Thank a lot. Happy new year!

Could you have two or more big pulses than are separated by near 200
days? Time series that are sensible to social phenomena like
vacations, holidays and others structures, could show strange
correlations that analysts must capture with deterministic inputs.
Sometimes, a few days with anormal values may dominate the correlation
of 1000 normal values.

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