Questions tagged [dynamic-regression]
Dynamic regression is a type of regression, where one of the independent variables is a lagged dependent variable.
147
questions
0
votes
0
answers
4
views
interpretation coefficient sign dynamic model
Screenshot of a paper under a section about dynamic interpretations.
Source: https://doi.org/10.3200/JECE.36.1.77-92
Does anyone care to explain this to me. Are they stating that the negative ...
- 11
0
votes
0
answers
6
views
calculate long run dynamic multiplier
When calculating the long run multiplier in a dynamic model (ARDL) (no cointegration found so not ECM) should the coefficients that are not statistically significant also be included?
- 11
0
votes
0
answers
56
views
Nickell Bias in dynamic Fixed Effect model for large T
From various sources and reading, I get to know that, the Nickell Bias associated with employing fixed effects with a lagged dependent variable is small when T is large. I understand the notions ...
3
votes
2
answers
1k
views
Including time-varying regional fixed effects in Arellano-Bond estimation (R plm package)
I want to estimate a dynamic panel model with firm level time invariant fixed effects and time-varying regional fixed effects. I'm trying to implement this with R package ...
CommunityBot
- 1
1
vote
1
answer
842
views
Cox-Snell residuals for Cox model with time varying coefficient
I am using the time transform feature of the coxph function in the survival package to model the effect of a time varying ...
CommunityBot
- 1
0
votes
0
answers
14
views
model for dynamic panel with the effect of y(t-1) to x(t)
I am not sure if my model is dynamic or vector auto-regressive
The model
Variables: X(t), Y(t) and C(t). Where C(t) are control variables
time t1, t2, ... tn
At any time t (take t=t2) then we have ...
- 173
0
votes
0
answers
84
views
Is there a way to do Dynamic Harmonic Regression in R using multiple variables?
The company I work for would like to forecast weekly transactions, given a certain weekly sales budget (i.e. predicted weekly sales) for a period of time.
We are a highly seasonal business, ...
- 1
1
vote
2
answers
76
views
Short-term gas demand forecasting
I'm a 22 year old Statistics student with a big problem to solve. English isn't my first language, so I apologize in advance for any mistakes in my grammar.
I'm trying to make a short-term gas ...
- 3,390
0
votes
0
answers
12
views
Possible statistical modeling method for identifying dynamic influence of different factors over time
I'm trying to build a statistical model which could capture the dynamic influence of different factors over years, for example, customers who buy a specific brand over different years, and I'm trying ...
- 55k
1
vote
0
answers
28
views
How to measure correlation between x and y where you are unsure, if there is a delay between the two?
It might be easier to describe a scenario, lets say the is variable x (inflation rate) and variable y (the amount spent on holiday flights).
If you were interested in the correlation between x and y ...
- 3,390
0
votes
0
answers
41
views
Estimate an ARMA disturbance model from measurement output data
Assume that we have a first order dynamical system
$$G(s) = \frac{1}{0.2s + 2.1}$$
I run this with an input $u = 10sin(t)$ and with gaussian noise.
...
- 317
0
votes
0
answers
67
views
dealing with serial correlation in dynamic panel model (pgmm)
For my bachelor thesis I create a differentiated dynamic panel model with individual effects. In R, the summary of the pgmm() object also outputs two ...
- 571
0
votes
0
answers
87
views
R: dynamic model with GMM estimator in first difference
To summarise the problem, I have a project in R where I need to study the correlation between the means of promotions of each of the last 6 months on the sales of the current month
I have a panel data ...
- 71.5k
0
votes
1
answer
861
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 ...
- 71.5k
1
vote
0
answers
32
views
Forecast Assistance given Monthly Time Series Data
I'm looking for some help to determine what type of model I should use for the given data set:
...
- 167
0
votes
0
answers
15
views
Help in interpreting Dyanmic regression results
I study the effect of a change in positive and negative sentiment on the weekly change in different Cryptocurrency returns. For my regression I'm using lagged values of the independent variables to ...
- 1
0
votes
0
answers
70
views
Dynamic linear Regression model using dynlm
I came across the package "dynlm" which offers the function dynlm to create lagged independent variables.
I have 3 time series as Independent variables (PSVI,NVSI,BTC_RET) and I want to ...
- 1
1
vote
1
answer
125
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,
...
- 347
2
votes
1
answer
40
views
Is there a way to tell when a time-series can no longer be predicted by the same model?
I am modeling a time series using a multiple (dynamic) linear regression model. I suspect that at some point, the model no longer accurately predicts the true series. Is there a way to find the point ...
- 1,206
0
votes
0
answers
67
views
Autocorrelation of the independent variable (Panel setting) with R
I have panel data with only a few individuals and time points and, after testing accordingly, I would like to create an RE model in R. For this I have some questions:
I found out that I have ...
- 1
2
votes
0
answers
41
views
Is there a test/model to tell whether an individual deviates from a group?
I'm working with time-series data on a handful (about 12) of individuals. Under normal conditions, the variable of interest for each individual is correlated among the group, i.e. if ...
- 65
2
votes
1
answer
259
views
Dynamic panel data
Can anyone please recommend a good source (academic and basic) for understanding the concepts of dynamic panel data estimation methods and why its preferred over static data analysis?
CommunityBot
- 1
0
votes
0
answers
110
views
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?
- 119
0
votes
0
answers
159
views
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 ...
- 63
3
votes
0
answers
209
views
The bias of Zellner estimators in dynamic SUR models
I have been playing around with a seemingly unrelated regression (SUR) estimation. However, for dynamic SUR models it is known that -- analogous to the ARIMA case -- an OLS/GLS estimate is biased. For ...
- 71.5k
0
votes
0
answers
56
views
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 ...
- 71.5k
2
votes
1
answer
804
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. ...
CommunityBot
- 1
3
votes
2
answers
3k
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 ...
- 1,432
2
votes
1
answer
1k
views
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 ...
- 57
0
votes
1
answer
93
views
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 ...
- 62.1k
1
vote
1
answer
212
views
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 ...
- 62.1k
1
vote
0
answers
427
views
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 ...
- 3,955
5
votes
1
answer
4k
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 ...
- 3
2
votes
0
answers
459
views
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 ...
- 2,767
0
votes
0
answers
488
views
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 ...
- 62.1k
1
vote
1
answer
96
views
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 ...
- 780
1
vote
0
answers
225
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 ...
- 71.5k
0
votes
0
answers
64
views
Intercept in a dynamic panel model
I have been taught that including fixed/random effects in a dynamic panel model yields inconsistent estimates when using OLS and hence motivates the usage of other estimation methods.
However, does ...
- 71.5k
2
votes
0
answers
105
views
Skepticism about the claims of instrument variable validity/exclusion through a statistical test—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} ...
- 280
0
votes
0
answers
151
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 ...
- 743
0
votes
0
answers
131
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 $\tilde\beta$, ...
- 21
0
votes
0
answers
34
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 ...
- 71.5k
1
vote
0
answers
83
views
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 ...
- 111
0
votes
0
answers
78
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, ...
- 2,767
3
votes
1
answer
1k
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 ...
CommunityBot
- 1
0
votes
1
answer
2k
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 ...
CommunityBot
- 1
1
vote
1
answer
201
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 ...
- 143
1
vote
0
answers
32
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 ...
- 31
1
vote
0
answers
36
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:
...
- 11
0
votes
1
answer
536
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 ...
- 26