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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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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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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20 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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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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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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54 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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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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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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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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38 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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32 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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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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37 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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47 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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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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40 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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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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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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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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113 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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37 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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how to estimate hyper-parameters when cross-validating time series forecasting?

I want to evaluate several forecasting methods on the taylor time series using cross-validation. How do I go about selecting the hyper-parameters for the methods? ...
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Explaining Profitability in Banks Using Panel Data Dynamic/Fixed Effects Model

I am currently looking to study the profitability of banks. My 4 independent variables, which are taken from banks balance sheet, are just financial ratios. My time is 13 Years, and I have 21 banks. ...
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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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63 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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58 views

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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199 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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283 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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255 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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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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134 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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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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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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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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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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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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158 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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346 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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288 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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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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785 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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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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700 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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2answers
383 views

Fixed Effects Problem when regressing GDP per capita growth on lagged GDP per capita

For my thesis I am studying the impact that economic sanctions can have on the GDP per capita growth rate of targeted countries. I am using panel data for 56 countries spanning a period of 23 years. I ...