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This post is follwong of abovr post.
In this post, I will examone Finite Distributed Lag(FDL) Model.
Firstly, I make a ts object from df_avg objrect.
Then, I use dynlm() function to make a FDL model.
Next, let's check if there is serial correlation.
L(resid_fdl) coefficient p-value is almost 0. We see there is serial correlation.
So, let's use Cochrane-Orcutt estimation using cochrane.orcutt() function.
All right, let's compare mod_fdl and mod_fdl_orcutt with stargazer() function.
Now, I made 4 models.
mod_static, mod_orcutt, mod_fdl and mod_fdl_orcutt.
Let's compare those models' fitted values.
All four models have good fitting, I think.
That's it. Thank you!
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