The Art and Science of Econometrics

5Time Series Regression Analysis

DOI: 10.4324/​9781003273905-5

5.1 Introduction

Regression analysis so far is most concerned with estimating the parameters of the population regression function from the sample regression function. This is because the regression analysis was confined to cross-sectional data with the framework of regression models in which the regressors were generated randomly from a fixed population. However, if the observations on the regressors are not generated randomly from a fixed population, but are generated from a stochastic process of time series, the OLS method to estimate the parameters on the regression model may not be valid. The method of the regression using time series data differs from the method of the regression ...