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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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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26 views

Prewhitening MA(1) model

Good afternoon all, I'm here again with another homework question. Given the dependent series {𝑦𝑡} and explanatory series {𝑥𝑡}, if {𝑥𝑡} follows the MA(1) process 𝑥𝑡=𝜀𝑡+0.7𝜀𝑡−1, what are ...
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11 views

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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36 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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45 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
28 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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1answer
81 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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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
34 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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25 views

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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38 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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41 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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Do we have to make cycles and trend covariates/predictors stationary in order to use them as valid predictors in a Dynamic Regression Model?

I want to extract patterns from macroeconomic indicators for use in predictor a target variable. In particular, I plan to decompose the macroeconomic variables into trend, cycle, maybe seasonality and ...
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61 views

Physics/dynamic system simulation with Deep Learning

I am interested in modelling physical/dynamic systems with deep learning, and I think that recurrent neural networks should be a good way to model systems that can be normally represented by state-...
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6 views

How to align predictors with target variable when predictors are sampled at a lower frequency?

I have a set of models I am creating in which the target variable I am forecasting is sampled at a high frequency (daily) but the predictors are all Federal Reserve Macroeconomic variables which are ...
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103 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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95 views

What are the statistical reasons of choosing between a static and dynamic panel data model?

I would like to know more about the relation between serial correlation/autocorrelation and static vs. dynamic panel data models to decide between a static or dynamic model. Currently, I am analyzing ...
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2answers
173 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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36 views

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
183 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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19 views

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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105 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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11 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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109 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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45 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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63 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
606 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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240 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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30 views

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
844 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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314 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
143 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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1answer
265 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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274 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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1answer
3k 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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1answer
655 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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1answer
538 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
286 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 ...
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99 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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90 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
765 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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100 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
51 views

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-...