Is there a way or method to use older values (lagged) of independent variables with alternative lags to explain current value of dependent variable? For time series specific

  • $\begingroup$ yes, google for "autoregressive distributed lags" or "koyck distributed lags". there's tons of info on these types of models. $\endgroup$ – mlofton Apr 9 '19 at 12:21

Exploring relation between time series provides an example of Transfer Function Modelling which leads to equations that can be then expressed as PDL or ADL as suggested by @mlofton. A flow diagram for model building is here http://www.autobox.com/pdfs/A.pdf

It is also called an ARIMAX Model or ARMAX Model transfer function-noise modelling in R.

For a larger set of references on this site see https://stats.stackexchange.com/search?q=user%3A3382+transfer+function


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