Time Series

Time Series - C22.0103: Statistics for Business Control:...

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Unformatted text preview: C22.0103: Statistics for Business Control: Regression and Forecasting Hong Luo Section 003, Spring 2009 Stern School of Business New York University Time Series Time Series in time series data sets, the unit of observation is something at a point in time each observation is the same variables at a different point in time, so we often index by t , e.g. ( y t , x t ) examples: daily prices of Google stock, monthly sales of Cheerios in the US, yearly crime statistics in NYC Autocorrelation Y t = + 1 X t + t autocorrelation (self correlation) is when Cov ( t , t- 1 ) negationslash = 0 this violates the assumption that the t are independent RVsa necessary assumption for the way we construct our confidence and prediction intervals where could we look for evidence of this problem? EX: Gasoline Consumption GallonsPC t = + 1 GasPrice t + 2 Income t + t Stat Regression Regression Graphs... Residuals vs. Order Durbin-Watson Statistic...
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This note was uploaded on 11/07/2010 for the course ECON 0001 taught by Professor Kitsikopoulos during the Spring '08 term at NYU.

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Time Series - C22.0103: Statistics for Business Control:...

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