Time Series Regression Models
Bayesian linear regression models and regression models with nonspherical
disturbances
Multiple linear regression models assume that a response variable is a linear combination of predictor variables, a constant, and a random disturbance. If the variables are time series processes, then classical linear model assumptions, such as spherical disturbances, might not hold. For more details on time series regression models and their departures from classical linear model assumptions, see Time Series Regression I: Linear Models.
Featured Examples
- Time Series Regression I: Linear Models
- Time Series Regression II: Collinearity and Estimator Variance
- Time Series Regression III: Influential Observations
- Time Series Regression IV: Spurious Regression
- Time Series Regression V: Predictor Selection
- Time Series Regression VI: Residual Diagnostics
- Time Series Regression VII: Forecasting
- Time Series Regression VIII: Lagged Variables and Estimator Bias
- Time Series Regression IX: Lag Order Selection
- Time Series Regression X: Generalized Least Squares and HAC Estimators
Categories
- Autocorrelated and Heteroscedastic Disturbances
Regression models with nonspherical errors, and HAC and FGLS estimators
- Bayesian Linear Regression Models
Posterior estimation, simulation, and predictor variable selection using a variety of prior models for the regression coefficients and disturbance variance