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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: Feb 1, 2012 9:18 PM
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On Feb 1, 4:54 pm, Dick Startz <@> wrote:
> >> 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,
> >Eric

> Unfortunately, I'm not an R user. (Could someone else chime in here?)
> Two commercial econometrics packages that will do this are EViews and
> Stata. (Also the packages TSP and RATS.) I'm pretty sure the open
> source package gretl will handle this.
> -Dick Startz

Thanks Dick.

I'm now looking into Dynamic Linear Models, Functional Linear Models,
Dynamic Systems Estimation and State Space models. While I've got
some functioning code, unfortunately I don't know enough yet to
understand the outputs. I can generate one step ahead predictions,
but I was hoping to resimulate an entire time series with alternative
scenarios of one independent variable.

This feels a little less trivial than a standard linear model.


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