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pythonstatsmodels
Ken T
Ken T

Reputation: 2553

Distributed Lag Model in Python

I have quickly looked for Distributed Lag Model in StatsModels but can't find one. The one that is similar is VAR model. Can I transform VAR model to Distributed Lag Model and how? It will be great if there are already other packages which have Distributed Lag Model. Please let me know if so.

Thanks!

Upvotes: 2

Views: 5226

Answers (1)

ely
ely

Reputation: 77424

If you are using a finite distributed lag model, just use OLS or FGLS, with the lagged predictors forming the covariate matrix, and some parameterized model of autocorrelation (if using FGLS).

If your target variable is vector-valued, then the same advice applies and it just becomes a multiple regression problem, with a separate regression for each component of the output, and possibly additional covariance structure if there is correlation between error terms across components of the target.

It does not appear there is a standard statistics package in Python that implements this directly, likely because it would boil down to FGLS in almost any practical situation.

Upvotes: 2

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