Introduction to Time Series Regression
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regarding the monograph
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.