- Thread starter podarum
- Start date

Thanks Vinux, very helpful.. Are you saying to first start with PROC REG, then AUTO REGn ad then somehow intergrate it into a Time Series after? But in PROC REG, I wouldn't have the benefit of seasonality and trend and time etc?

TimeSeries regression is not considered easy. You need to ensure the matching part( i.e. it should not be the case that Y is seasonal and Xs are seasonal.. read first two pages of this). Covariate also time series, so strictly speaking, you need to build a VAR model. You need to take care Cointegration. I am not sure you are going that extend.

You could also use ARIMA, but you may not be able to include the covariates.