Ostrom, Charles W.

Time Series Analysis : Regression Techniques

Introduction Time Series Regression Analysis Nonlagged Case A Ratio Goal Hypothesis The Error Term Time Series Regression Model Nonautoregression Assumption Consequences of Violating the Nonautoregression Assumption Conventional Tests for Autocorrelation An Alternative Method of Estimation EGLS Estimation (First-Order Autocorrelation) Small Sample Properties The Ratio Goal Hypothesis Reconsidered Extension to Multiple Regression Conclusion Alternative Time-Dependent Processes Alternative Processes Testing for Higher Order Processes Process Identification Estimation Example Estimation of Models with Errors Generated by Alternative Time Dependent Processes Example Ratio Goal Model Reconsidered Conclusion Time Series Regression Analysis Lagged Case Distributed Lag Models Lagged Endogenous Variables Testing for Autocorrelation in Models with Lagged Endogenous Variables Estimation EGLA Estimation Example A Revised Ratio Goal Model Interpreting Distributed Lag Models Conclusion Forecasting Forecast Error Forecast Generation Modifying the Forecast Equation Forecast Evaluation Example Conclusion Summary