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:
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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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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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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 ...
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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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-...
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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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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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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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Interaction of Time Fixed Effect with one Past Outcome
I am trying to understand the identification of the following model:
$y_{it} = \gamma_i + \eta_t+\epsilon_{it}$ $\forall t\leq \bar{t}$
$y_{it} = \gamma_i + \eta_t\times y_{i\bar{t}}+\epsilon_{it}$ $...
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[R]: DOLS - number of leads and lags
I have a model
model_1=dynlm(y_log~x1_log+x2)
where y_log, x1_log are I(1) and x2 is something between I(0) and I(1) (I rejected unit root with ADF test but KPSS ...
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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 ...
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Stationary of exogenous variables in Dynamic Regression with SARIMA errors
I want to create a dynamic regression model with ARIMA-errors. What I am trying to figure out is if the exogenous variable, x_t and the variable I want to predict, y_t need to have the exact same ...
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auto.arima model with many regressors
I am trying to forecast a seasonal series with 30 regressors using auto.arima.
I have several questions regarding the correct methodology that I need to pursue.
1) Should I fit auto.arima with all ...
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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 ...
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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 ...
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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 ...
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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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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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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 ...
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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.
...
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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 ...
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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 ...
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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 ...
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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 ...
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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 (...
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How to forecast with a regression model with ARIMA errors?
I have obtained the following coefficients after using the auto.arima function in R:
$y_t = 0.87 x_t - 0.51x_{t-1} + n_t$
where $n_t = 0.83n_{t-1} + e_t$
My question is, how to obtain $\hat{n}_{t-1}$...
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