Timeline for Daily data regression - setting up dummies
Current License: CC BY-SA 3.0
13 events
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| Apr 13, 2017 at 12:44 | history | edited | CommunityBot |
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| Oct 15, 2015 at 21:39 | vote | accept | RandomDude | ||
| Oct 15, 2015 at 15:25 | comment | added | Tom Reilly | Any progress here? | |
| Oct 1, 2015 at 20:28 | comment | added | Tom Reilly | If you ignore the outliers, level shifts, changes in seasonality, level shifts then you don't get a good read on the main variables. | |
| Oct 1, 2015 at 19:44 | comment | added | Tom Reilly | Take a look at slides 45-55 autobox.com/cms/index.php/afs-university/intro-to-forecasting/… For day of the month, it is trying to measure the same impact on a given day of the month. For days of the week, you create 6 dummies. For months of the year, 11 dummies, and the holidays. | |
| Oct 1, 2015 at 13:47 | comment | added | RandomDude | Already thought about using autobox, as soon as my model works i will download it so i can compare performance and also show that it makes sense to invest in such a software solution. | |
| Oct 1, 2015 at 13:43 | comment | added | RandomDude | Maybe i am using the wrong name for it or it just doesn't make sense?! Day of the year: 366 different dummies to represent each date of the year. For example: January has 31 days, so i need 30 dummies, February has 29 days (sometimes 28) so i need 28 dummies..., December has 31 days so i need 30 dummies. I thought in that way i could catch all holidays that are related to a specific date (4th July, Christmas) as well as their lead and lag effects. Day of the month is not month specific right? So there are 30 dummies for 31 possible days of the month (1st to 31. of a month)? | |
| Oct 1, 2015 at 12:18 | comment | added | Tom Reilly | No, there is no sense to think that a given year would be different unless there was some marketing or policy change. "Dummies for different years" is like a level shift variable or multiple ones. | |
| Oct 1, 2015 at 12:16 | comment | added | Tom Reilly | As you can see above, day of the week, month of the year were important, but not all of them. Yes, certain holidays and their lead and lags are important. Why don't you download a 30 day trial from autobox.com and use that as well? Day of the year is not something I have ever seen before. What could that be? Day of the month is something we have seen. | |
| Oct 1, 2015 at 12:13 | comment | added | RandomDude | Does it make sense to create dummies for the different Years? | |
| Oct 1, 2015 at 12:11 | comment | added | RandomDude | So i am trying to improve the regression approach as much as i can. I set up dummy variables and afterwards use variable selection to find a final regression model. Would you suggest any other dummy variables that i can/should implement: Day of the week, Month, Calendar Week, Day of the year, Moving holidays (including lead and lag)? Don't think i can implement Level Shift or Pulse, at least i am not aware of any method. | |
| Oct 1, 2015 at 12:05 | comment | added | RandomDude | Thanks for your answer. Well i already accepted that there is no "simple" way to forecast daily data + there is a reason why software solutions like autobox exist. But for the sake of my thesis i have to come up with some model to forecast daily data. So i am comparing different approaches available in R (e.g. tbats, regression,...) and compare the results of different datasets that i have to forecast in order to suggest the "least worst" model. | |
| Oct 1, 2015 at 11:42 | history | answered | Tom Reilly | CC BY-SA 3.0 |