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# 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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### Auto.arima coefficients with exogeneous variables

I have the following output from the auto.arima function with specified xreg: ...
409 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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### 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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932 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 ...
2k 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 ...
734 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 ...
55 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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1 vote
229 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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59 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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### How to deal with timeseries regressors of different lengths in Dynamic Regression Model

I plan to build a dynamic regression model with weekly sales data over a three year period (Jan 2014-Dec 2016). The three series are sales, price and advertising spend. I have complete data for all ...
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1 vote
1k views

### Logistic Regression with Lags

I am interested in fitting a dynamic panel model in the form of a random effects logistic regression logit P(s(t,i) = 1) for time t and subject i. The regression equation for this logistic equation ...
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141 views

### Dynamic panel with X times dummy and X times (1-dummy) variables

I have a dynamic panel model that goes as follows: D is a dummy variable that takes the value of 1 if a condition is met in the previous period and zero otherwise. Is this model correct? can I put ...
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1 vote