Statistical Analysis Stack Exchange
Statistical Analysis Stack Exchange

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 taking two factors into account: the past ratings of…
JohnAndrews
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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, how do I get 1-step-ahead forecasts for my…
Zach
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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 intervention - i.e. number of units gained or lost…
B_Miner
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Dynamic Panel/GMM in R with group:time fixed effects?

Is there a solution coded in R to estimate models of the form $$ y_{igt} = \alpha_i + P_{gt} + \beta_1y_{igt-1}+ \beta_2y_{igt-2} + X_{igt}'\gamma + \epsilon_{igt} $$ ? plm offers the pgmm package, which implements the Arellano-Bond estimator, but…
generic_user
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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 ($y_t$), marine & inland annual fish catches respectively from…
phg
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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 is also called dynamic regression model. I need…
user833
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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: regression vs dynamic regression with AR errors) against…
Brett
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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?
Arslán
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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 record per customer. Y= number of items (count) sold…
forecaster
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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 want. I want to extend an ARI(12,1) model so that…
Firefeather
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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 with two approaches. Data y <- c(rnorm(10, 10,…
Mihael
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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. $y_t=φx+ε_t$ with $x =y_{t-1}$ My reason is that, Auto-regression does assumes iid errors, same for linear regression. Linear Regression doesn't have assumption on independent…
WeiChing 林煒清
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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 want to get a specific definition of what a…
pkpkPPkafa
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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 papers I've read have defined it, though, and some…
SLD
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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 space equation is the first one, i.e. the one…
ABK
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