Hi there,
First of all I''m not sure if this should be posted here or under the statistical software topics but anyway... I have two time-series, one of them is binary and the other is not. Now I'm estimating a probit model with i lags varying from zero to 24. That is, I shorten my explanatory time series at the end by i observations and I shorten the binary series at the beginning by i observations. Now when I choose my preferred lag and make a plot of the binary series on the y-axis together with the explanatory variable multiplied by its beta plus the coefficient, I observe a spike preceding each occurrence of Y (Y=1). Is it a correct interpretation to say that a spike indicates that Y will occur in i periods? This is important because I want to use this model out of sample.
Kind regards,
Michael
First of all I''m not sure if this should be posted here or under the statistical software topics but anyway... I have two time-series, one of them is binary and the other is not. Now I'm estimating a probit model with i lags varying from zero to 24. That is, I shorten my explanatory time series at the end by i observations and I shorten the binary series at the beginning by i observations. Now when I choose my preferred lag and make a plot of the binary series on the y-axis together with the explanatory variable multiplied by its beta plus the coefficient, I observe a spike preceding each occurrence of Y (Y=1). Is it a correct interpretation to say that a spike indicates that Y will occur in i periods? This is important because I want to use this model out of sample.
Kind regards,
Michael