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 Time series regression 
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Joined: 06 Feb 2013
Posts: 2315
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You have a time series of observations of some variable Yt.
Consider regressing Yt on lagged observations of Yt.
Yt= a + by t-1 + et
Show that the estimated b is the same as autocorrelation coefficient p between Yt and Yt-1
P= Cprr(yt,yt-1)
tks :)


09 Feb 2013
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Joined: 06 Feb 2013
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From your notes, b = Cov(y[t], y[t-1])/Var(y[t-1])
= p * Stddev(y[t])*Stddev(y[t-1])/Var(y[t-1])
But Stddev(y[t]) = Stddev(y[t-1]) (at least as t -> inf) because each is just the std dev of the observations.
=> everything cancels except the p


09 Feb 2013
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Joined: 19 Feb 2018
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Now there is the demand for some other purposes that can be done through more observations. All around the globe boomessays are giving some essential ideas to convey properly.


19 Feb 2018
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