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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Specify dynamic structure in a panel regression

I am recently approaching the dynamic panel models proposed by Arellano-Bond (1991), Arellano-Bover (1995) and Blundell-Bond (1998), in particular I am trying to understand the hypotheses underlying ...
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Skepticism about the claims of instrument variable validity/exclusion through a statistical testβ€”the Arellano-Bond Test (cross-posted)

I am an applied researcher and occasionally come across papers that have panel data and that use dynamic models with both a fixed-effects term and lagged DV (or multiple autoregressive terms): $y_{it} ...
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68 views

Choice between static and dynamic panel regression

I have a panel dataset with countries as individuals observed per year. My analysis concerns a macroeconomic study and as often happens in these cases (I would not be wrong but they are commonly ...
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16 views

Non positive covariance matrix of latent variables when constraining residual covariances to be equal across time

I am trying to build a bivariate latent growth curve model with structured residuals using lavaan. When I try to constrain residual covariances to be equal at each time point, however, I get a warning ...
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28 views

Is it possible to create a binary classifier from bayesian network?

I have a labeled data set consisting of longitudinal data and I would like to train a dynamic bayesian network. The output should be probability of the observation being 1 in a selected step given the ...
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Dynamic panel model assessing temporal relationships with 2 conditions with varying timepoints

I want to perform a dynamic panel model to investigate the temporal relationship between 2 variables (working mechanism and outcome) using R package dpm (following the method of Allison, Williams, and ...
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19 views

How can I get LSDV estimator of a two-way dynamic panel model?

I am now trying to explain a dynamic panel data model as follow: $y_{it} = \alpha y_{i,t-1} + x_{it}'\beta + \mu_i + \lambda_t + \nu_{it}$ Here I want to compute its LSDV estimator $\tilde\beta$, ...
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22 views

What are issues or best practices related to using fitted values from one model as predictors in a second regression forecast model?

I am creating two models, where the fitted values of one SARIMAX type model are used as an exogenous predictor for a second dynamic regression model. I want to understand what assumptions of the gauss ...
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Can we use pooled ols on dynamic panel without individual fixed effect (but with group fixed effects) and no serial correlation in error

Is it correct that dynamic panel without individual fixed effect (but with group fixed effects), no serial correlation in error can be estimated consistently through pooled ols? For example, suppose ...
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23 views

Penalizing non-OLS models

Let’s consider some common linear time series models for which OLS does not usually yield unbiased coefficient estimates. These include ARIMA and ARIMAX models, regression models with ARIMA errors, ...
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16 views

Product of independent beta distribution and gamma distribution

I'm reading Bayesian Forecasting and Dynamic Models by Mike West and Jeff Harrison. The following conclusion is about the variance discounting in dynamic linear regression model. On page 362, it says, ...
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1answer
41 views

How to get first difference of count variable for poisson regression

Poisson regression using Panel data requires the dependent variable ($y_{it}$) to be a non-negative count variable. I need to take the first difference of the dependent variable to deal with reverse ...
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15 views

Transfer Function in Dynamic Linear Model to Quantify Intervention Effect?

I have a time series consisting of 48 quarterly observations, relating to the area of land that was subject to development. I am trying to investigate whether a change in policy after 2011 caused an ...
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17 views

How to build a function with the result of arima in R?

I use: arima(y, order = c(3,1,1) in R to get ARIMA(3,1,1), result as follows: Call: arima(x = y, order = c(3,1,1)) Coefficients: ...
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88 views

Differences between Dynamic Regression Model and Intervention Model?

I am currently studying on dynamic regression and intervention model but I haven't have much resources on hand about the differentiating both of them. I understand that intervention model is a special ...
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30 views

Why does the Anderson-Hsiao adjustment pick the twice-lagged first difference?

My understanding is that the Anderson-Hsiao adjustment, described here as an example, addresses concerns about potential or actual autocorrelation by taking a first difference of the dependent ...
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42 views

Algorithm for dynamic linear regression with stochastic volatility?

Is there any paper or textbook on how to estimate dynamic linear regression model with stochastic volatility? The observation equation and state equation, $$Y_t = \beta_t'X_t + \epsilon_{t}$$ $$\...
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34 views

Dynamic Regression Model Problem

Hi anyone can help me with this practice paper questions? I am very clueless about it T.T a) Identify the estimated effect on 𝑦𝑦 at π‘‘βˆ—, π‘‘βˆ— + 1, and π‘‘βˆ— + 2. b) Identify the permanent effect on οΏ½...
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116 views

Dynamic panel model with small N and large T

I'm working on a panel with N=4 and T=76, trying to run the following model: yt = yt-1 + Xt + controls where x is an exogenous regressor. I have two questions: 1)I detected a unit root issue in yt,...
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36 views

Data preprocessing for dynamic linear regression

In DLM, what kind of preprocessing should be done before fitting the model? $$Y_t = \beta_t'X_t+\epsilon_t$$ $$\beta_t = \beta_{t-1}+\eta_t$$ Should I transform both $Y$ and $X$ into stationary time ...
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11 views

Compact notation of ARMAX model

I was trying to create a compact equation for an ARMAX model with ARMA(1,1) and 3 lagged predictors? The expanded equation looks like this: $$y_t = -103.784 + 0.075 x_t + 0.058 x_{t-1} + 0.008 x_{t-2}...
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Is it necessary to include the identified AR or MA parameters in a dynamic regression model?

I am performing a univariate and multivariate time-series analysis. After identifying the best ARIMA models for each individual time-series, I performed the cross-correlation function to identify the ...
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DLM Package R - How to Report Results

I am new to Dynamic Linear Models and need some help. I've created a dynamic linear model on a time series using the DLM package in R, but don't really understand how I can report any results. I can't ...
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56 views

Standard errors with delta method

Trying to recreate other author's results. E.g. this paper. Introduction to the model is on page 10, while table with results is presented on page 13. Under the table there's a small note that SE were ...
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50 views

Prewhitening MA(1) model

Good afternoon all, I'm here again with another homework question. Given the dependent series {𝑦𝑑} and explanatory series {π‘₯𝑑}, if {π‘₯𝑑} follows the MA(1) process π‘₯𝑑=πœ€π‘‘+0.7πœ€π‘‘βˆ’1, what are ...
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How to run a Sargan-Hansen test?

I'm estimating a model with a lagged dependent variable and fixed effects for panel units. I understand that this can result in Nickell Bias but I didn't think it would be a big problem because there ...
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8 views

Significant Hansen Test Even If All Variables Are Treated As Endogenous

I use System GMM, and to get baseline results, I treat ALL my independent variables as endogenous when I write my model. But the Hansen test is positive and statistically significant (0.042). What ...
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42 views

Endogeneity, Treatment Bias and System GMM

I use FE/RE Hybrid estimations (Allison 2009) in a three wave panel data, and my 10 independent variables, one of which is my main concern, seems to give expected results. Yet, Vaisey and Miles (2017)...
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59 views

Best practice for dynamic panel data estimation with multilevel structure in a $T \gg N$ setting

We plan to estimate a dynamic panel model with both, varying intercept and varying slopes. Further, we also want to include group-level predictors for the varying effects in second-stage regressions. ...
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1answer
31 views

Training model vs model on whole data in time series forecasting in r

I have daily time series data of almost two years starting for Jan 2018 to Nov 2019 and need to forecast for next two months Dec and Jan. My train data(Jan 2018-Aug 2019)is up to Aug 2019 and its ...
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102 views

Linearisation of Kalman filter

Assume we have the following state-space model: $$ z_{k} = \theta_{k} z_{k-1} + v_{k}\\ \theta_{k} = \phi \theta_{k-1} + w_{k}, $$ where $v_{k}$ and $w_{k}$ are independent and normal for all $k$. The ...
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144 views

Can I estimate base sales in a Marketing Mix Model (MMM) with muddled promotional data?

I am building a marketing mix model (MMM) for an online casino, but they regularly run promotions and marketing campaigns that overlap. Trying to determine a baseline level of sales has been difficult....
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1answer
38 views

Covariance in system with lagged reverse causality

Is there an easy way to find the covariance between $x_t$ and $\epsilon_t^1$ in a system like $$y_{t} = \beta x_{t} + \epsilon^1_{t}$$ $$x_{t} = \alpha y_{t-1} + \epsilon^2_{t},$$ potentially under ...
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1answer
39 views

Auto.arima coefficients with exogeneous variables

I have the following output from the auto.arima function with specified xreg: ...
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79 views

Calculating standard errors for long-run (cumulative) multiplier in a Distributed Lag model

I have a distributed lag model of the form: lm(wellbeing ~ temperature + temperature_lag1 + temperature_lag2 + time + individual, df) where I'm interested in ...
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Dynamic regression, models with coefficients = 0 chosen as top models

I am running auto.arima on part of a time series (training data) using all possible combinations for several external regressors. I then choose the top 5 models according to fit to testing data using ...
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257 views

Using Decomposition to Extrapolate seasonality, cycle and trends of predictors

I'm creating a dynamic regression model in which macroeconomic indicators are predictors/features in the model. I need to forecast these features n-steps into the future. I am planning to decompose ...
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2answers
386 views

Lagged variables in multilevel models

Is it okay to use lagged dependent variables as predictors in multilevel models? i.e. If there are $j$ groups of $i$ individuals each measured $t$ times, to model $$ y_{ij} = \beta_{0j} + y^{-1}_{ij} ...
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Dynamic poisson-time series regression

Basically, my question is similar to Time series dynamic poisson regression, yet I didn't get any clue by its answer. I'm modeling dengue incidents with GLM (poisson regression; because the response ...
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1answer
287 views

Transfer Function Clarification

I'm seeking a little clarification on the specific application of transfer functions for time series. I've followed the Box-Jenkins approach for selecting potential exogenous predictors... using R's ...
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0answers
51 views

Regressing across multiple different time series using exogenous variables?

To make this situation clear, I'll use a somewhat silly, but conceptually simple example. Imagine I record teams of movers carrying furniture down the block. I measure the furniture's position/speed ...
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144 views

Multilevel dynamic linear models in R

I am interested in fitting a multilevel bayesian structural time series with a hierarchical structure of the dynamic regression coefficients. The reason I want to do this is is that I have a number of ...
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49 views

Modelling dynamic panel data

I have a question about a dynamic panel data model. Consider the panel data model: $y_{it} = \alpha_i + x'_{it}\beta + \delta y_{i,t-1} + \epsilon_{it}$. This cannot be estimated because $\alpha_i$ is ...
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72 views

Time series model for demand forecasting?

I have a time series $Y_t$ (example:university applications received in a certain month) which I want to forecast. I have another time series $X_t$ and I know that $Y_t$ is related to past lags of $...
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1answer
784 views

Short Run vs Long Run Effect in Dynamic Panel Regressions

This video differentiates between short run and long run effects of an independent variable in dynamic panel regression (from 19:25 to 20:50). Firstly, I would like to know when and why do we ...
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Why is the assumption that the disturbances of a dynamic linear regression model are serially uncorrelated important and how could it be tested?

I'm a little bit confused about this assumption here. If we considered it is a dynamic linear regression model, then disturbance correlation is part of the probability. So this assumption is ...
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Introducing multiple lags of DV as IV in regression

Background - I have to estimate the impact of different promotional channels on the sales of a product. We don't have sales so technically it is order data at a zip level. Also, the product is highly ...
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2answers
1k views

auto.arima forecasting same value continuously for future part in r

I have a daily time series data of inbound call centre of last 10 months and i need to forecast for next two months. My all future forecasts are repeating after a week i.e. values of 2nd,3rd and 4th ...
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440 views

Lagged Dependent variable in OLS

I have a question about one of my models. I am sorry if I am using Terms wrongly, as I am part of the management research field and this quite often leads to different terminologies. I try to model ...
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1answer
164 views

How is `Arima` from `forecast`/`stats` package with external regressors (dynamic regression) evaluated?

I use the Arima function from the forecast package in R. I also took a look at this short introduction to the topic (author of ...