Timeline for The relationship between autoregressive model and distributed-lag model
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| Jul 16, 2020 at 20:32 | history | edited | kjetil b halvorsen♦ |
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| Jul 16, 2020 at 20:07 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Feb 15, 2020 at 15:58 | comment | added | Richard Hardy | I don't know. I use the term for autoregression just like mlofton does. An autoregression is not derived from a distributed lag model. An autoregression is both a multiple linear regression and a time series model. These are not mutually exclusive categories. | |
| Feb 15, 2020 at 15:50 | comment | added | Yuan | @Richard hi Richard, so is it correct to say that autoregressive model is derived from the distributed lag model? And is autoregressive model a time series model or multiple linear regression model? Thanks! | |
| Feb 14, 2020 at 11:43 | comment | added | Richard Hardy | There might be some confusion in terminology. If autoregression and autoregressive model are taken to mean different things, then Yuan might be right. However, I think it is common among statisticians and econometricians to interpret both terms as autoregression where there are no exogenous variables, only a single dependent variable and its lags. | |
| Feb 14, 2020 at 6:41 | history | edited | Richard Hardy |
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| Feb 14, 2020 at 5:14 | answer | added | mlofton | timeline score: 2 | |
| Feb 14, 2020 at 5:08 | comment | added | mlofton | Hi: AR models are very different from distributed lag models because distributed lag models have an exogenous regressor $X_t$. OTOH, AR models don't have the exogenous regressor so the LHS truly is a function of the previous value of itself. This is not the case in a distributed lag because it's really an exogenous variable that is causing the relationship between the LHS and the previous value of itself. Your confusion is that in the ADL, it looks like there is a relationship between the LHS and the previous value of itself but there really isn't. | |
| Feb 14, 2020 at 5:02 | history | edited | Yuan | CC BY-SA 4.0 |
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| Feb 14, 2020 at 4:49 | history | asked | Yuan | CC BY-SA 4.0 |