A Regression Approach to Time Series Analysis

Copyright © Richard B. Darlington. All rights reserved.

There are a number of approaches to time series analysis, but the two best known are the regression method and the Box-Jenkins (1976) or ARIMA (AutoRegressive Integrated Moving Average) method. This document introduces the regression method. I consider the regression method far superior to ARIMA for three major reasons:

I assume a solid understanding of regression and the general linear model, including the use of polynomial and interaction terms and the use of coded variables to represent multicategorical variables. This document is intended to serve three audiences: Aside from this brief introductory section, this work has four sections that can be called up separately:
  1. Introduction to the regression approach to time series analysis.
  2. The advantages of regression over ARIMA. This section also explains why I often suggest using substantially more terms in a regression analysis than is usually done.
  3. More advanced variants of the regression method.
  4. Three examples.
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