Time Series Models and Inference
نویسنده
چکیده
Overview In contrast to the classical linear regression model, in which the components of the dependent variable vector y are not identically distributed (because its mean vector varies with the regressors) but may be independently distributed, time series models have dependent variables which may be identically distributed, but are typically not independent across ovbservations. Such models are applicable for data that are collected over time. A leading example, to be discussed more fully below, is the rst order autoregression model, for which the dependent variable yt for time period t satis es
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