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Topic: time series multiple regression
Replies: 6   Last Post: Feb 1, 2012 9:18 PM

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Eric Goodwin

Posts: 11
Registered: 1/15/12
Re: time series multiple regression
Posted: Jan 30, 2012 10:40 PM
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On Jan 27, 4:45 pm, Dick Startz <@> wrote:
> On Thu, 26 Jan 2012 19:36:42 -0800 (PST), Eric Goodwin
> <> wrote:

> >Hmm, thanks Paul, yes that's a good point.  I do indeed hope to
> >quantify relative influence, rather than simply successfully predict
> >(or hindcast) measured values.  Ultimately I hope to estimate what
> >conditions would have been like, had driver values been different.

> >I had come across the ARIMA method in my reading around, but I hadn't
> >even been sure that it could handle an independent variable distinct
> >from its dependent variable.  I need things really dumbed down before
> >I can take them in.

> >I'm thinking probably econometrics is going to include methods pretty
> >close to what I want to achieve, but wondered whether there might be
> >anything in climate modelling that was statistical rather than
> >numerical (mechanistic, PDE whatever you want to call it) in nature.

> >Further complexity is that the integration period for an independent
> >variable I1 may vary over time, and may be dependent on the value of
> >another independent variable I2.  There may by lags between
> >independent variables and the dependent variable, these lags might be
> >different for different IVs, and they may vary over time, dependent on
> >values of IVs.

> >As a first stab I divided the data in several contrasting sets, with

> >driver values greater or less than an arbitrary threshold, and tested
> >for a difference between the dependent values of those two sets.

> >It's such a comprehensive dataset, I really feel like I owe it a
> >thorough investigation!

> >Cheers,
> >Eric
> In econometrics it's pretty standard to run a multiple regression
> where the error terms are serially correlated. Any econometrics
> package will handle this.
> -Dick Startz

Thanks Dick. Can you refer me to just one? (Preferably in R). I
tried the Farnsworth package, but that does not appear to support
multiple regression of time series.

Many thanks,

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