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


"MCI" <330006@xxxxxxxxx> wrote in message
news:1167286264.424242.39630@xxxxxxxxxxxxxxxxxxxxxxxxxxxxxx
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!


Have you tried plotting a graph of x against t? That would show you at a
glance if there is some unusual pattern to the data.

Adam


.

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