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How to determine the proper number of lag in autocorrelagram

By Thomas | Sep 05, 2017 01:24AM CEST

Hi,

I would like to plot autocorrelagram, using descriptive analysis feature. However, I would like to know that how to determine a proper number of lag.

In addition, I have totally of 1241 observations, and according to the XLSTAT software, it asked me for the number of lag, then I selected automatic. Accordingly, I got 31 lags.

How this number, 31, come? and Are there any other criteria to determine the most appropriate number of lag?

Thank you
Thomas

Best Answer
By Sébastien | Sep 05, 2017 10:32AM CEST | XLSTAT Agent

Hi Thomas,

This number equals 10*log10(n). N being the number of observations.
Reference: Paul Gilbert, Martyn Plummer. Extensive modifications and univariate case of pacf by B.D. Ripley.

Best,

Jean Paul


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By Sébastien | Sep 05, 2017 10:32AM CEST | XLSTAT Agent

Hi Thomas,

This number equals 10*log10(n). N being the number of observations.
Reference: Paul Gilbert, Martyn Plummer. Extensive modifications and univariate case of pacf by B.D. Ripley.

Best,

Jean Paul

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