As the title “Practical Regression” suggests, these notes are a guide to performing regression in practice. This technical note discusses time-series data. The note explains the concept of a time ...

The article considers the efficiency of ordinary least squares (OLS) coefficient estimates relative to generalized least squares (GLS) in a linear regression model where the disturbances follow a ...

Jerry G. Thursby, A Test Strategy for Discriminating Between Autocorrelation and Misspecification in Regression Analysis, The Review of Economics and Statistics, Vol. 63, No. 1 (Feb., 1981), pp.

This autocorrelation of the residuals may not be a very good estimate of the autocorrelation of the true errors, especially if there are few observations and the independent variables have certain ...

Autocorrelation can be used for analyzing many types of data. In investments, autocorrelation is part of the technical analysis toolkit used to assess the predictability of asset returns.