内容

目次

Introduction Time Series Regression Analysis Nonlagged Case A RatioGoal Hypothesis The Error Term Time Series Regression Model NonautoregressionAssumption Consequences of Violating the Nonautoregression AssumptionConventional Tests for Autocorrelation An Alternative Method of EstimationEGLS Estimation (First-Order Autocorrelation) Small Sample Properties TheRatio Goal Hypothesis Reconsidered Extension to Multiple RegressionConclusion Alternative Time-Dependent Processes Alternative Processes Testingfor Higher Order Processes Process Identification Estimation ExampleEstimation of Models with Errors Generated by Alternative Time DependentProcesses Example Ratio Goal Model Reconsidered Conclusion Time SeriesRegression Analysis Lagged Case Distributed Lag Models Lagged EndogenousVariables Testing for Autocorrelation in Models with Lagged EndogenousVariables Estimation EGLA Estimation Example A Revised Ratio Goal ModelInterpreting Distributed Lag Models Conclusion Forecasting Forecast ErrorForecast Generation Modifying the Forecast Equation Forecast EvaluationExample Conclusion Summary