I am trying to find a solution to a problem, having a dataset with multiple short time series and exogenous variables.

Read this, this, and this. And many other resources. Still cannot find a clear answer if I can build any autoregressive model.

Dataset characteristics:

- a large number of independent entities and 3 observations, annual
- one times series for each that I want to forecast forward 1-3 years (2020-2022)
- multiple covariates, some time series themselves some static
- I hypothesize that any predictive power of the covariates is similar across entities

Any ideas how to approach this? I did all possible research, but nothing working so far.

## Best Answer

With only three observations per id, fitting an autoregressive model is going to be problematic. Even if you have only one lag, you are essentially losing 1/3 of your data.

This is really a longitudinal data problem. So I'd start there -- look at the literature on mixed effects models for example. You will need to account for the lack of independence of the observations -- multiple observations per person. Here is a simple model to start with that uses

`Articles`

and`Year`

as covariates in modelling`Score`

, with`Articles`

having a random coefficient, and`Year`

providing a fixed effect time trend. I'm not sure that this model makes any sense, because you haven't provided enough information about your data. But it at least shows some of the relevant modelling functions in R.^{Created on 2022-03-04 by the reprex package (v2.0.1)}