# 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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### How to write the equation of Dynamic Factor Model built from DynamicFactorMQ() in Python?

The output below corresponds to the estimated Dynamic Factor Model and I want to know how to write the equation by referring to the below output. I used ...
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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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### What does mean to have the number of used observations greater than the sample size in the Generalized Method of Moments(GMM) result?

I specified my model as follow: The result below gives a value of the Sargan test around 0.3, which is good according to Roodman. However, the number of used observations is greater than the sample ...
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### Dynamic panel with binary outcome

Suppose I have a dynamic panel data model with unobserved heterogeneity. $$y_{it} = \alpha y_{1,t-1} + \boldsymbol{x'_{it}\beta} + \epsilon_{it}$$ $$\epsilon_{it} = \mu_{i} + \upsilon_{it}$$ I ...
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### Pooling dynamic panel models (dpm) with mice::pool in r

I have multiply imputed panel datasets that I have constructed with amelia. I put them in a list and constructed a corresponding list of ...
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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 ...
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 ...
1 vote
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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 ...
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 ...
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 ...