Time Series – Gaurav Sharma's Blog

Difference Equations

Oct 7, 2015

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1. Difference Equations 1.1. Introduction Time series analysis deals with a series of random variables. 1.2. First Order Difference Equations We will study time indexed random variables . Let be a linear function of and . Equation 1 is a linear first-order difference equation. It is a first-order difference equation because only depends on and…

Ordinary Least Squares Under Standard Assumptions

Oct 5, 2015

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gvs139

in Linear Regression, Linear Regression Models, Mathematics, Statistics, Time Series

Suppose that a scalar is related to a vector, and a disturbance term according to the regression model. In this article, we will study the estimation and hypothesis testing of when is deterministic and is i.i.d. Gaussian. 1. The Algebra of Linear Regression Given a sample of T values of and the vector , the…