# 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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### What statistical methods are there to recommend a movie like on Netflix?

I am looking to implement a dynamic model to recommend a movie to a user. The recommendation should be updated every time the user watches a movie or rates it. To keep it simple I am thinking of ...
15k views

### 1-step-ahead predictions with dynlm R package

I've fit a model with several independent variables, one of which is the lag of the dependent variable, using the dynlm package. Assuming I have 1-step-ahead forecasts for my independent variables, ...
801 views

### Intervention With Differencing

When conducting an intervention analysis with time series data (aka Interrupted Time series) as discussed here for example one requirement I have is to estimate the total gain (or loss) due to the ...
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### Dynamic Panel/GMM in R with group:time fixed effects? [closed]

Is there a solution coded in R to estimate models of the form $$y_{igt} = \alpha_i + P_{gt} + \beta_1y_{igt-1}+ \beta_2y_{igt-2} + X_{igt}'\gamma + \epsilon_{igt}$$ ? ...
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### How to identify transfer functions in a time series regression forecasting model?

I am trying to build a time series regression forecasting model for an outcome variable, in dollar amount, in terms of other predictors/input variables and autocorrelated errors. This kind of model ...
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### Fitting a time-varying coefficient DLM

I want to fit a DLM with time-varying coefficients, i.e. an extension to the usual linear regression, $y_t = \theta_1 + \theta_2x_2$. I have a predictor ($x_2$) and a response variable ($y_t$), ...
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### Model comparison between an ARIMA model and a regression model

I'm really having trouble finding out how to compare ARIMA and regression models. I understand how to evaluate ARIMA models against each other, and different types of regression models (ie: ...
8k views

### How do I ensure PROC ARIMA is performing the correct parameterization of input variables?

I'm trying to forecast using ARIMAX with two exogenous (input) variables. I'm using PROC ARIMA, but I can't figure out from the SAS documentation whether my code is producing the parameterization I ...
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### Time series dynamic poisson regression

I have a time series count data by customers that I would like to regress on past months items (count) sold and promotional effects (current and past). Below is an example, and the dataset has one ...
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### 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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### State space form of time varying AR(1)

I would like to implement the model proposed in Dynamic modeling of mean-reverting spreads (Kostas Triantafyllopoulos, Giovanni Montana). They propose to model a time serie Y_t with the following ...
809 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, ...
156 views

### What are the reservations of Dynamic Linear Models (DLMs)?

I am studying dynamic linear models (DLMs). I am not sure I understand all its intricacies. My novice take is that those models can work very well if: you have a lot of data (several hundreds of ...
199 views

### How to identify functional form of relationship between response & input series in dynamic regression/arimax?

Problem statement A US insurance company advertises on national television in an attempt to increase the number of insurance quotations provided (and consequently the number of new policies). ...
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### Parameter estimation for dynamic regression models with correlated noise ARMA errors

I'm reading the Dynamic Regression Models chapter ( https://www.otexts.org/fpp/9/1 ) in Professor Hyndman's book, and I couldn't understand how to fit the regression model when the error is modeled ...
450 views

### What is meant by a “stochastic constant”?

I've seen it in a few pieces of econometric literature, and googling it turns up lots of papers using it, almost always in reference to state-space models and other dynamic linear regressions. No ...
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### What's wrong if I fit the auto-regression with OLS?

I am doing auto-regress by usual linear regression package. e.g. $y_t=Ļx+Īµ_t$ with $x =y_{t-1}$ My reason is that, Auto-regression does assumes iid errors, same for linear regression. Linear ...
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### 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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### 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 ...
541 views

### Which econometric indices are best for macroeconomic variables?

I want to test index models that are applicable to macroeconomic data to test my hypothesis in R or some other statistical software (I have most of them). The properties of most of the macroeconomic ...
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### 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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### What is the impact of management on tree mortality caused by insect pest?

I am monitoring tree death caused by insects and potential impact of human treatment on yearly amount of tree mortality in areas with and without human intervention. My data are recorded by remote ...
867 views

### Schoenfeld residual test for model with time varying coefficients?

I'm working with the survival package in R. I fit a Cox proportional hazard model (coxph) and did a scaled Schoenfeld residual test (...
627 views

### Correct procedures to detect and correct outliers for aggregated/SKU time series

Background I am currently working with sets of product sales time series at SKU-level for a FMCG company. Data are available in a weekly format for multiple years and sales data for hundreds of ...
180 views

### How to identify relationship between response time series(Yt) & input time series(Xt) only in terms of Yt-1 & Xt?

I have a response time series(Y) & Input time series Xt & Zt. My only objective is to identify functional form Yt=f(Yt-1,Xt,Zt) where f(Yt-1,Xt,Zt) contains only lags of Yt , Xt & Zt as ...
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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 ...
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 ...
412 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 ...
371 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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### 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 ...
286 views

### 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 ...
944 views

### Dynamic regression linear models in R

I have a question regarding Dynamic regression linear models. I wonder if it is possible to implement a MLR model (in R) using 'lm' and creating lagged values of predictors and dependent variables. ...