Introduction to Time Series Regression

Henry Thompson

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The present introduction to time series regression focuses on the basic design and estimation of economic time series. The method is limited to regression analysis leading to understanding the principles of time series analysis.

The book is designed for work with a data set. The way to learn time series is to begin estimating an model. Identify a model and data set. While more observations are always better, quarterly or monthly data may have seasonality that complicate the analysis. Good advice is to find yearly data for 40 or more years.

Suppose a model reduces to the effect of exogenous variable Xt on the endogenous variable Yt with an exogenous control variable Zt. The t subscripts refer to the time period. In general functional form the function of interest is

Yt = f(Xt, Zt),

where Xt and Zt may be vectors. This introduction focuses on how to reliably estimate this relationship. The issue for economic theory is the partial derivative effect of Xt on Yt holding Zt constant.