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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4answers
3k views

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 ...
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2answers
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, ...
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2answers
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 ...
10
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0answers
2k views

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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2answers
8k views

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 ...
9
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1answer
4k views

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 ($y_t$), ...
8
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3answers
13k views

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: ...
7
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2answers
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 ...
7
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1answer
1k views

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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2answers
5k views

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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3answers
2k views

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 ...
4
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1answer
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, ...
4
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1answer
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 ...
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0answers
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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0answers
1k views

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 ...
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2answers
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 ...
3
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2answers
2k views

What's wrong if I fit the auto-regression with OLS?

I am doing auto-regress by usual linear regression package. e.g. $y_t=φx+ε_t$ with $x =y_{t-1}$ My reason is that, Auto-regression does assumes iid errors, same for linear regression. Linear ...
3
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1answer
2k views

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 ...
3
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1answer
94 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 ...
3
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2answers
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 ...
3
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2answers
395 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 ...
3
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2answers
205 views

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 ...
3
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1answer
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 (...
3
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1answer
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 ...
3
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1answer
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 ...
3
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2answers
709 views

My transfer function has non-stationary inputs, but a stationary output. Should I difference both the inputs and outputs during structure estimation?

I have a system of two inputs and one output that I'd like to model using the following Box-Jenkins transfer function ("dynamic regression") structure: $$y_t=\frac {\beta_1(B)}{\nu_1(B)}\omega_1Bx_{1,...
3
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0answers
71 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 $...
3
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0answers
705 views

Nonlinear GMM for Dynamic Panel Data

A friend of mine needs to estimate a non-linear GMM on Panel data. As I have checked, the softwares for Panel GMM only estimate linear forms (STATA gmm, xtabond, ...; R pgmm from plm package). How can ...
2
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2answers
675 views

Textbook approach to modeling non-proportional hazards in the Cox model

In Cox models with time varying coefficients, the effect of covariates on the hazard is allowed to change through time. In cases where a coefficient has a linear relationship with time, I am aware of ...
2
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1answer
2k views

Difference between SUTSE (Seemingly Unrelated Time Series Equations) and SUR (Seemingly Unrelated Regressions)

I am studying time-series econometrics and in particular Dynamic Linear Models for multivariate time-series. Someone can help me in understanding which is the difference between SUTSE (Seemingly ...
2
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1answer
3k views

What is the difference between “two-ways” and “individual” effects in GMM estimation for panel analysis?

I am starting to use GMM estimation of dynamic panels with fixed-effects in R, but couldn't find proper information on the differences between "two-ways" and "individual" effects. Both can be easily ...
2
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1answer
740 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 ...
2
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1answer
1k views

Time-dependent Poisson regression

I have a time series that count the number of "type 1" events in a city, for each day. The serie contains a lot of zeros because type 1 events are rare (about 80% of counts are zeros). I'm using a ...
2
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1answer
533 views

Dynamic regression and prewhitening

I'm working on a time series forecasting problem where sales needs to be predicted using weather variables. The weather variables are auto correlated and hence pre-whitening is needed to find the true ...
2
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1answer
1k views

ARIMAX Forecasting in SPSS vs. R

I'm using time series data containing both trend and seasonality. I also have 2 endogenous predictor variables that I would like to include in my model. In R I've used the forecast package to develop ...
2
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1answer
38 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 ...
2
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1answer
39 views

Auto.arima coefficients with exogeneous variables

I have the following output from the auto.arima function with specified xreg: ...
2
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1answer
264 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 ...
2
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1answer
4k 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 ...
2
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1answer
905 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? ...
2
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0answers
33 views

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, $$Y_t = \beta_t'X_t + \epsilon_{t}$$ $$\...
2
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0answers
40 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 ...
2
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0answers
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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0answers
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 ...
2
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1answer
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. ...
2
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0answers
3k views

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 ...
2
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0answers
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 ...
2
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0answers
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. ...
2
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2answers
802 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 ...
2
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0answers
1k views

R: Dynamic Regression with ARIMA model using xreg, make use of step function?

This might fit better here than on stackoverflow, I guess. I was trying to build a dynamic regression model with the dynlm package, but it did not work out. After reading this by Hyndman, I now ...