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What is the difference between VAR, Dynamic Regressive, and ARMAX models? I will focus on ARMAX versus VAR I am not quite sure what a dynamic regression is (I have seen a few different interpretations Funnily, there are textbooks and lecture notes with chapters called "Dynamic regression" that do not really delimit this class of models Also, Rob J Hyndman notes in his blog post "The ARIMAX model muddle" that different books use that term for different models
Forecasting with ARMAX vs. Regression with ARMA errors In Hyndman's forecast package, the ARMAX model is fitted sequentially as an OLS model with ARMA errors It isn't a "true" ARMAX model in the Box-Jenkins sense of the term
ARMAX or Dynamic Regression | regression of multiple timeseries See this answer for a comparison of ARMAX and VAR models Can I create a model using lagged values of the dependent and independent variables, used together in a regression model? Yes, you could also do that within an ARMAX or a VAR framework to forecast the dependent variable directly using lags of itself and the other variables
Estimating an ARMAX model using an I (2) exogenous variable Is it valid to estimate an ARMAX model using I (1) and I (2) variables, which are made stationary after first and second differencing, respectively? For instance, I have an I (1) stock price variable, which I difference once to make it stationary