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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 = β + β 1 X t + ǫ t ◮ autocorrelation (“self” correlation) is when Cov ( ǫ t , ǫ t- 1 ) negationslash = 0 ◮ this violates the assumption that the ǫ t are independent RVs—a 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 = β + β 1 GasPrice t + β 2 Income t + ǫ t Stat ⇒ Regression ⇒ Regression ⇒ Graphs... ⇒ “Residuals vs. Order” Durbin-Watson Statistic...
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Time Series - C22.0103 Statistics for Business Control...

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