LINEST and Dynamic Regression
Hi-
I'm trying to built a multiple regression model which dynamically switches X variables based on their independent r-squared with my y variable. Specifically, i have 4 "potential" x variables, but I only want to use the 2 which have the strongest linear relationship with my y variable based on the trailling 36 periods. So for example, lets call my Y variable "Copper Price" and my X variables "Supply", "Demand" ,"Inventories" and "USD FX". From 1995-1998, supply and demand had the highest rsqs with copper prices, so i want to only use those. However, by 1999, "inventories" is more important than supply, so i want my linest function to be based on demand and inventories. I know this is a simple example, but i've actually got a couple dozen variables so I need a better way to do it. Any thoughts would be very much appreciated. -W |
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