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Research Details

Practical Regression: Time Series and Autocorrelation

Abstract

This is the twelfth in a series of lecture notes which, if tied together into a textbook, might be entitled “Practical Regression.” The purpose of the notes is to supplement the theoretical content of most statistics texts with practical advice based on nearly three decades of experience of the author, combined with over one hundred years of experience of colleagues who have offered guidance. As the title “Practical Regression” suggests, these notes are a guide to performing regression in practice. 
This technical note discusses time-series data. The note explains the concept of a time trend and how to capture the trend using regression. Most of the note is devoted to the problem of autocorrelation. The note concludes by discussing the use of leads and lags as predictor variables. 

Type

Case

Author(s)

David Dranove

Date Published

06/12/2018

Citations

Dranove, David. Practical Regression: Time Series and Autocorrelation. Case 7-112-012 (KEL646).

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