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Multiple Time Series Modeling Using the SAS VARMAX Procedure by Anders Milhoj

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Chapter 2: Regression Analysis for Time Series Data

Introduction

The Data Series

Durbin-Watson Test Using PROC REG

Definition of the Durbin-Watson Test Statistic

Procedure Output

Cochrane-Orcutt Estimation

Conclusion

Introduction

This chapter presents a simple, naive example of an ordinary regression using time series data. The results from this analysis can lead to unrealistic assumptions. Even when some of the errors are eliminated by the application of more refined techniques, the conclusion is doubtful. In practice, many regression models for time series data produce similar results. This chapter presents an analysis that is obviously in error in order to set the scene for properly modeling the dynamics of time series in later chapters.

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