lag_analysis
Identify leading or lagging relationships between economic indicators using cross-correlation at multiple lags. Determine if one series precedes another and by how many periods.
Instructions
Cross-correlation at multiple lags. Answers "does A lead or lag B?". Peak |r| at positive lag means A precedes B by that many periods. Common use: "is consumer confidence a leading indicator of retail sales?".
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| a | Yes | First indicator id (candidate leading series) | |
| b | Yes | Second indicator id (candidate lagging series) | |
| entity | Yes | Entity code (e.g. USA) | |
| max_lag | No | Max lag in periods (1-20, default 5) | |
| time | No |