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


MCI wrote:
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)

The regression coefficient of x(t)-x(t-200) on x(t-200) is not the same
as the autocorrelation coefficient. Maybe you should compute and graph
the ACF of the original and differenced time series using a statistical
software program such as R.

.