I was wondering what time scales should I use for my analyses (regressions, correlations etc.). Should I use all of the data i can find at once? a rolling window? several rolling windows? how long should the window be, short compared to a series typical time scale or long?
If I use a rolling window, how do I treat the distribution of all values? I didn't see any reference in the lecture series and would have liked to hear some insights from experts or assumptions from other newbies.