Search All of the Math Forum:
Views expressed in these public forums are not endorsed by
Drexel University or The Math Forum.
|
|
|
|
Re: time series multiple regression
Posted:
Feb 1, 2012 9:18 PM
|
|
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.
Eric
|
|
|
|
