I'm new to data science and I'm working on a regression problem. My question is the index of my data which is of type "Date time index" plays a part in regression? I mean is it Okay if i drop the index ?
You can take the date into account, but you should convert it into numeric value. Suggestions: 1) Consider "datetime" package in python to change it to numeric, or some other techniques such as indexing with date-time, and converting the index value to numeric, float, etc. I don't have your exact case, so cannot say specifically. or 2) If you have time series data, then in many cases ARMAX, ARIMAX, Seasonal ARIMAX models can do a really good job.