1 / 12

Time Series

Time Series. From regression to time series. Review of Regression Analysis. Regression: Y = f(X), where X is some independent variable, and f( ) is linear. The function that relates the actual data points is… . Y = β 0 + β 1 X + ε. Y.

wauna
Download Presentation

Time Series

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Time Series From regression to time series

  2. Review of Regression Analysis

  3. Regression: Y = f(X), where X is some independent variable, and f( ) is linear. The function that relates the actual data points is… Y = β0 + β1X + ε Y …where the “ε” term is the vertical error in the estimate. Ŷ = b0 + b1X …where the “hat” on Y indicates it is a predicted value only! X ε = Y - Ŷ

  4. Summary of statistics from previous example. In this class, Excel-based computer calculations will be used instead of calculator output. However, students should still know what these statistics are.

  5. r2 s F = MSR/SSE = (SSR/k)/SSE SSR SSE SST Probability of no relationship Intercept slope

  6. To establish that there IS a relationship between X and Y, you must REJECT the possibility that there is NO relationship between X and Y. Generally speaking, this means that you want small SSE’s and big SSR’s, and therefore a big F-statistic.

  7. The hard copy of this “self test) will be handed out in class.

  8. Open Excel “Regression Problem 4.19” from website.

  9. Time Series

More Related