# Questions tagged [dynamic-regression]

Dynamic regression is a type of regression, where one of the independent variables is a lagged dependent variable.

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### Nickell Bias in dynamic Fixed Effect model for large T

From various sources and reading, I get to know that, the Nickell Bias associated with employing fixed effects with a lagged dependent variable is small when T is large. I understand the notions ...
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### model for dynamic panel with the effect of y(t-1) to x(t)

I am not sure if my model is dynamic or vector auto-regressive The model Variables: X(t), Y(t) and C(t). Where C(t) are control variables time t1, t2, ... tn At any time t (take t=t2) then we have ...
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### Is there a way to do Dynamic Harmonic Regression in R using multiple variables?

The company I work for would like to forecast weekly transactions, given a certain weekly sales budget (i.e. predicted weekly sales) for a period of time. We are a highly seasonal business, ...
1 vote
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### Short-term gas demand forecasting

I'm a 22 year old Statistics student with a big problem to solve. English isn't my first language, so I apologize in advance for any mistakes in my grammar. I'm trying to make a short-term gas ...
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### Possible statistical modeling method for identifying dynamic influence of different factors over time

I'm trying to build a statistical model which could capture the dynamic influence of different factors over years, for example, customers who buy a specific brand over different years, and I'm trying ...
1 vote
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### How to measure correlation between x and y where you are unsure, if there is a delay between the two?

It might be easier to describe a scenario, lets say the is variable x (inflation rate) and variable y (the amount spent on holiday flights). If you were interested in the correlation between x and y ...
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### Estimate an ARMA disturbance model from measurement output data

Assume that we have a first order dynamical system $$G(s) = \frac{1}{0.2s + 2.1}$$ I run this with an input $u = 10sin(t)$ and with gaussian noise. ...
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### dealing with serial correlation in dynamic panel model (pgmm)

For my bachelor thesis I create a differentiated dynamic panel model with individual effects. In R, the summary of the pgmm() object also outputs two ...
1 vote
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### Forecast Assistance given Monthly Time Series Data

I'm looking for some help to determine what type of model I should use for the given data set: ...
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### R: dynamic model with GMM estimator in first difference

To summarise the problem, I have a project in R where I need to study the correlation between the means of promotions of each of the last 6 months on the sales of the current month I have a panel data ...
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### Help in interpreting Dyanmic regression results

I study the effect of a change in positive and negative sentiment on the weekly change in different Cryptocurrency returns. For my regression I'm using lagged values of the independent variables to ...
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### Dynamic linear Regression model using dynlm

I came across the package "dynlm" which offers the function dynlm to create lagged independent variables. I have 3 time series as Independent variables (PSVI,NVSI,BTC_RET) and I want to ...
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### Is there a way to tell when a time-series can no longer be predicted by the same model?

I am modeling a time series using a multiple (dynamic) linear regression model. I suspect that at some point, the model no longer accurately predicts the true series. Is there a way to find the point ...
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### Autocorrelation of the independent variable (Panel setting) with R

I have panel data with only a few individuals and time points and, after testing accordingly, I would like to create an RE model in R. For this I have some questions: I found out that I have ...
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### Is there a test/model to tell whether an individual deviates from a group?

I'm working with time-series data on a handful (about 12) of individuals. Under normal conditions, the variable of interest for each individual is correlated among the group, i.e. if ...
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### Difference between Dynamic Factor Model and Factor Augmented VAR?

One simple question: What is the difference between the dynamic factor model and factor augmented vector autoregressive (FAVAR) model?
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### Auto. Arima and ARIMAX for multi variate time series forecasting

I'm trying to do multivariate time series forecasting using the forecast package in R. The data set contains one dependent and independent variable. From the cross-correlation the 0 day lag of the ...
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### Regression modelling options for time-varying contribution of exogeneous variables

When building a regression model for observations in time $y_t = f(\beta, x_t, \varepsilon_t)$, I want the magnitude of $x_t$ to have different contribution to $y_t$ at different time moments. I ...
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### Can I apply the same DCC-GARCH model on sub-samples to investigate differences in co-movements?

I am using DCC-GARCH for a master thesis in which I am investigating the co- movement of the Green bond and other markets pre and during the current economic crisis. Based on the signficant ARCH/GARCH ...
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1 vote
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### Implications of insignificant dccalpha and dccbeta for DCC-model used for co-movement analysis

I'm using a DCC-ARMA(1,0)-GARCH(1,1) model to investigate co-movement of the green bond market and other markets. The ARCH/GARCH parameters of the univariate ARMA(1,0)-GARCH(1,1)models are significant ...
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### Interpretation of dccalpha and dccbeta in DCC-GARCH model

I've used DCC-ARMA(1,0) -GARCH(1,1) to model green bond co-movement with some other marekts. In the output, I get the parameters "dccalpha" and "dccbeta". However, I do not know ...
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1 vote
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### How can I implement a dynamic linear model in R?

Can someone explain me how to implement a dynamic linear model in R? The concept is similar to a transfer function, which mathematically is defined as: $$y_t=c+w(B)x_t + N_t$$ Where $y_t$ is the ...
1 vote
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### A VECM in logs or a ARDL in the first difference of logs?

Suppose I have a number of time series that appear to have exponential growth at similar rates, with errors I believe to be generally proportional to the level of the variable. I believe that one of ...
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### Penalizing autoregressive models (with R packages)

Consider the class of linear or quasi-linear models that include an autoregressive term, such as autoregressive distributed lag models, ARIMA models, VAR and VECM models, and so forth. In general the ...
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1 vote
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### Dominance analysis in linear regressions with ARIMA errors

I have a question regarding dominance analysis in linear regressions with ARIMA errors. I am currently working with stress models for the banking industry. In certain cases, we are using dynamic ...
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### Intercept in a dynamic panel model

I have been taught that including fixed/random effects in a dynamic panel model yields inconsistent estimates when using OLS and hence motivates the usage of other estimation methods. However, does ...
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