I built three dynamic linear regression models via the modeltime package using very similar logic. However, when I pluck() one of the model objects, it does not include an intercept.
I also don't see it when I apply the coefficients() function to that model. I am not doing anything to explicitly exclude the intercept and even when I try to explicitly include an intercept by adding 1 to the formula (Y ~ 1 + X1 ...), nothing changes. When I try to calculate the fitted values by hand, it's clear that it's not adding up. The model that doesn't show the intercept value does have the most terms, so I wonder if there is any truncation in the display. Does anyone have any insight?