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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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Lagged Panel Data in R [closed]

I want to regress a panel data using within estimator in R For the static model, I have yit = B1*x1,it + B2*x2,it + eit Now I want to estimate the dynamic model yit = B0*yit-1 + B1*x1,it + B2*x1,...
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The use of cross validation in Dynamic Linear Model (or state space model)

The dynamic linear model has the form as $$ y_t = m(\theta_t, x_t) + \epsilon_t ~~~~~~~~~~~~~~~~~~~~~~~~~~~~ (1)\\ \theta_{t+1} = F \theta_t + R \eta_t,~\eta_t \sim N(\mu_t,\Sigma_t) ~~~~~~(2) $$ ...
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Time series novel

I've exhaustively attempted to find a proper way to analyse a dataset. Despite finding several piece of information of what could be done, I kindly ask for suggestions of could be done, mainly in R. ...
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21 views

Dynamic regression with lagged explanatory variables

I have data on unemployment from 2006 to 2018(monthly) and have fitted a $sARIMA(3,1,1)(0,1,1)_{12}$ that has decent forecasting abilities, however I want to try to improve the forecasting abilities. ...
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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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9 views

Is it Valid to Use Monthly values of one Timeseries to forecast daily values of a another Timeseries

I have a model with some macroeconomic variables that only have monthly values. I am building a dynamic regression/transfer function/ARIMAX model where the dependent variable is daily sales. Do I have ...
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38 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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36 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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ARIMA function in R: Is it right to include lags of the dependent variable in xreg?

The ARIMA function in R includes an xreg option to include covariates/predictors. Is it possible (or right) to include the lagged dependent variable as a covariate in this model? If the lagged ...
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24 views

Dynamic Pooled OLS: does it make sense?

I have data on 25 countries for about 35 years. I want to estimate a POLS as I am not looking for a causal interpretation but just sttistical correlation between two phenomena. That's why I will not ...
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57 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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312 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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136 views

How to interpret Nickell or dynamic panel bias?

In a panel data setting: I am running a Fixed effects dynamic panel regression. It is well known that the coefficients associated with the dynamic variable(gamma) is biased. This is also referred to ...
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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
272 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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187 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
95 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 ...
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131 views

How to run a time series regression in R? [closed]

How to use tslm function in r ti run a time series regression? Do we want to use stationary time series when using tslm function? If I tell in detail, I have y variable and another 16 explanatory ...
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1answer
130 views

Handling daily time series data for better accuracy

I have a daily observation of call volumes data starting from 28-01-2017 to 31-08-2018 a little over one and half year.On sundays calls volume are less and monday the highest showing weekly pattern. ...
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89 views

Using a single principle component (PC) space to describe how a dataset changes across conditions

Given a design matrix that consists of N (>100) variables and J (>100) observations (the data, itself, is actual time-series): ...
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212 views

When and why should we use Tobit Regression model?

I am trying to find out determinants of corporate cash holdings for a panel dataset of 1696 firms over a period of 21 years. The dependent variable is the ratio of 'Cash and Cash Equivalents' to '...
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Difference of Forecast ,predictors and regression residuals in auto.arima

I am forecasting daily electricity demand using daily temperature as a predictor variable in r using auto.arima and got (2,1,2)(2,0,0)7 errors. The link https://otexts.org/fpp2/dynamic.html suggest ...
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1answer
1k views

What's the definition of “Dynamic Regression Models”?

I am trying to learn about Dynamic Regression models. However, the sources on the topic is (relatively) few compared to other TS topics, and so I cannot really get a grasp of where to start. I really ...
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Model for lagged differences in dynamic panel data

I am interested in the coefficients when regressing a difference in levels of a variable on lagged differences in a panel data context. I want to know if the Nickell bias is present, and if not, what ...
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61 views

Proliferation of Instruments in DPD GMM, with large T and small N

I want to estimate a dynamic panel data model, by using the GMM. To best of my knowledge there are two main estimators, the difference GMM and the system GMM. I am working with a long panel, my T is ...
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1answer
317 views

Seasonal Arima with binary exogenous variables

I have a time series, which I would want to model using Sarima + regression. However, I have a binary variable which clearly controls the level of the time series (for the dates when it is set to 1, ...
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61 views

Does a lag dependent variable resolve nonstationarity concerns?

I'm working with a panel dataset and unit root tests suggest that my dependent variable in nonstationary. I know that I can take first differences to try to deal this issue. When I do, my results are ...
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39 views

Which test is the most convincing?

Brief background: I’m examining mediation rates in China. I have a panel dataset with N=24 provinces and T=30 years (1985-2014). For each province-year, I observe mediation rates and host of economic/...
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142 views

Dynamic treatment in difference in differences

I have quarterly data for 5 years for 50 countries. 25 of them were treated. There's missing data for some quarters/countries. However treatment was dynamic: it happened in quarter 3, then was eased ...
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1answer
301 views

How to repoduce the fitted values from a forecast::Arima in R by hand?

We have fit an ARIMA (1,0,0) with exogenous reggressors using the forecast package in R and would like to write about this model. However when we write out the ...
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91 views

Contribution of regressors in regression with ARMA error

I am trying to forecast 'Patients' by fitting linear regression with ARMA error (auto.arima, Xreg) with 5 regressors. 'patients' and all 5 regressors have seasonality. 1) Is there any way to quantify ...
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62 views

Forecasting many stores sales with optimal reconciliation and regression

I am forecasting many stores sales via the optimal reconciliation approach. The problem is that forecasts are not as accurate as I would like. Edit: Part of the problem is that a small subset of ...
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1answer
513 views

If I add a lagged dependent variable, do I need to add the lagged independent variables too?

If I have a normal regression model y_t = βx_t + ε_t and want to add a y_(t-1), would this be proper? ...
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86 views

Do dynlm and dlm have same mathematical expressions?

I am currently using dynamic linear regression (dynlm) for my analysis. However, I do also find another model called dynamic linear model (dlm). I find that dlm has an official mathematical ...
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1answer
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Calculating, and plotting, long run effects of dynamic panel models

I am estimating an error correction model of the following form, using panel data where $i$ are countries and $t$ are years: $\Delta y_{it} = \alpha + \phi_1 y_{it-1} + \phi_2 y_{it-2} + \gamma x_{it-...
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148 views

How to deal with timeseries regressors of different lengths in Dynamic Regression Model

I plan to build a dynamic regression model with weekly sales data over a three year period (Jan 2014-Dec 2016). The three series are sales, price and advertising spend. I have complete data for all ...
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1answer
241 views

Logistic Regression with Lags

I am interested in fitting a dynamic panel model in the form of a random effects logistic regression logit P(s(t,i) = 1) for time t and subject i. The regression equation for this logistic equation ...
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1answer
85 views

Dynamic panel with X times dummy and X times (1-dummy) variables

I have a dynamic panel model that goes as follows: D is a dummy variable that takes the value of 1 if a condition is met in the previous period and zero otherwise. Is this model correct? can I put ...
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56 views

Interaction of Time Fixed Effect with one Past Outcome

I am trying to understand the identification of the following model: $y_{it} = \gamma_i + \eta_t+\epsilon_{it}$ $\forall t\leq \bar{t}$ $y_{it} = \gamma_i + \eta_t\times y_{i\bar{t}}+\epsilon_{it}$ $...
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1answer
815 views

[R]: DOLS - number of leads and lags

I have a model model_1=dynlm(y_log~x1_log+x2) where y_log, x1_log are I(1) and x2 is something between I(0) and I(1) (I rejected unit root with ADF test but KPSS ...
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2k views

What does small N or small T really mean in panel data sets?

A common notion in literature on the comparison of various estimation techniques for dynamic panel models is that it's always stressed that each of these different estimation techniques perform best ...
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1answer
607 views

Stationary of exogenous variables in Dynamic Regression with SARIMA errors

I want to create a dynamic regression model with ARIMA-errors. What I am trying to figure out is if the exogenous variable, x_t and the variable I want to predict, y_t need to have the exact same ...
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504 views

auto.arima model with many regressors

I am trying to forecast a seasonal series with 30 regressors using auto.arima. I have several questions regarding the correct methodology that I need to pursue. 1) Should I fit auto.arima with all ...
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165 views

Need help with a DOLS model

I am attempting to build a multivariate DOLS model. More specifically, it is model that is already being used where I work, but I am trying to replicate the model in R. Currently, the model is used ...
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1answer
411 views

dynamic time warping (DTW): unexpected results

on the wave of the suggestions given to me on this topic I started (time series similarities: which techniques for each transformation?) I decided to give another try at Dynamic Time Warping but I ...
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1answer
1k views

kalman filter multiple observations per time step

I'm trying to use a Kalman Filter to estimate an online dynamic regression coefficient between two variables (e.g. http://www.thealgoengineer.com/2014/online_linear_regression_kalman_filter/) In the ...
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1answer
1k views

Test for the significance of the effect of an intervention in a time series

I am looking for the best approach to test for the significance of the effect of an intervention that occurred at a known time on a time series data. Using a toy dataset as an example, I have come up ...
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2answers
3k views

What is the difference between VAR, Dynamic Regressive, and ARMAX models?

All of these models seem to be used in predicting an endogenous time series variable, using several lagged exogenous time series variables. If it is so, how do we decide when to use which?
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Prewhitening Regressors in Lagged Time Series Regression

I'm trying to identify significant lags in a time series regression such that $Y = \beta_0X_t + \beta_1X_{t-1} + ... + \beta_iX_{t-i} + \alpha_0Z_t + \alpha_1Z_{t-1} + ... + \alpha_jZ_{t-j}$ I ...