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Thread: Time series

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    Time series




    Say you know that you have autocorrelation in your data. Say AR =2. Can you use ARIMA to remove the AC, then predict the results of the ARIMA with regression?

    If you do this do you have to back transform the results [that is your slope] somehow to put it in the original units as you would for example when you logged y?
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    Re: Time series


    Quote Originally Posted by noetsi View Post
    Say you know that you have autocorrelation in your data. Say AR =2. Can you use ARIMA to remove the AC, then predict the results of the ARIMA with regression?

    If you do this do you have to back transform the results [that is your slope] somehow to put it in the original units as you would for example when you logged y?
    Is the autocorrelation is in the Y variable or is it in the residuals?

    I would suggest the simple model (regression) first, then the generalisation. Some times the lagged variables and explanatory variables are correlated. There is a possibility that you may see autocorrelations (at Y), but the regression residuals may to be autocorrelated.
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