Time Series Regression and Forecasting

The purpose of econometric analysis is to estimate the model’s parameters and test hypotheses about those parameters; the values and signs of the parameters can determine the validity (or not) of an economic theory, as well as the effects of certain policies and decisions.

Linear Regression

Ordinary Least Square (OLS)

Regression Models for Forecasting

Time Series Data and Serial Correlation

The First-Order Autoregressive Model

Out-of-Sample Forecasting

Evaluating Forecasting Accuracy

References