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Please add the Almon lag method to estimate lagged prediction models when the data is highly autocorrelated

Estimating lagged prediction models from autocorrelated historical data is a common challenge in business and economics. The resulting multicollinearity causes the models to perform poorly. The Almon lag method is a clever way to deal with the multicollinearity. It's available in SAS and Statistica, and would be a valuable addition to XLSTAT.

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  • Jan 16 2018
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