notes on regression and time series analysis

This web
site contains notes and materials for an advanced elective course on
statistical forecasting that is taught at the Fuqua School of Business, Duke
University. It covers linear regression and time series forecasting models as
well as general principles of thoughtful data analysis. The time series
material is illustrated with output produced by Statgraphics, a statistical software
package that is highly interactive and has good features for testing and
comparing models, including a parallel-model forecasting procedure that I
designed many years ago. The material on multivariate data analysis and linear
regression is illustrated with output produced by RegressIt, a free* *Excel add-in developed more recently which offers
presentation-quality graphics and support for good modeling practices. However,
these notes are platform-independent. Any statistical software package ought to
provide the analytical capabilities needed for the various topics covered here.

Principles and risks
of forecasting (pdf)

Famous forecasting quotes

How to move data around

Get to know your data

Inflation adjustment (deflation)

Seasonal adjustment

Stationarity and differencing

The logarithm transformation

Statistics
review and the simplest forecasting model: the sample mean (pdf)

Notes on the random
walk model (pdf)

Mean (constant) model

Linear trend model

Random walk model

Geometric random walk model

Three types of forecasts: estimation period, validation
period, and the future

Notes on
forecasting with moving averages (pdf)

Moving average and exponential smoothing models

Slides
on inflation and seasonal adjustment and Winters seasonal exponential smoothing

Spreadsheet implementation of seasonal adjustment and
exponential smoothing

Equations
for the smoothing models (SAS web site)

Notes on linear
regression analysis (pdf)

Introduction to linear regression analysis

Mathematics
of simple regression

Regression examples

- Beer sales
vs. price, part 1: descriptive analysis

- Beer
sales vs. price, part 2: fitting a simple model

- Beer
sales vs. price, part 3: transformations of variables

- Beer sales
vs. price, part 4: additional predictors

- NC natural gas consumption vs.
temperature (new! 10/2/2015)

What to look for in
regression output

What's a good value for R-squared?

What's the bottom line? How to compare models

Testing the assumptions of linear regression

Additional notes on regression analysis

Stepwise and all-possible-regressions

Excel file with
simple regression formulas

Excel file with regression
formulas in matrix form

If
you are a PC Excel user, you *must *check
this out:

RegressIt: free Excel add-in for linear
regression and multivariate data analysis

Notes on nonseasonal
ARIMA models (pdf)

Slides on seasonal and
nonseasonal ARIMA models (pdf)

Introduction to ARIMA: nonseasonal models

Identifying the order of differencing

Identifying the orders of AR or MA terms

Estimation of ARIMA models

Seasonal differencing

Seasonal random walk: ARIMA(0,0,0)x(0,1,0)

Seasonal random trend: ARIMA(0,1,0)x(0,1,0)

General seasonal ARIMA models: ARIMA(0,1,1)x(0,1,1) etc.

Summary of rules for identifying ARIMA models

ARIMA models with regressors

The
mathematical structure of ARIMA models (pdf)

Steps in choosing a forecasting model

Forecasting flow chart

Data transformations and forecasting models: what to use
and when

Automatic forecasting software

Political and ethical issues in forecasting

How to avoid trouble: principles of good data analysis

Forecasting Principles and Practice (R-based
on-line textbook by Rob Hyndman and George Athanasopoulos)

Stat 510:
Applied Time Series (R-based on-line course at Penn State)

Online StatBook (David Lane)

International
Institute of Forecasters links (sites, references, software)

Forecasting Principles web site
(J. Scott Armstrong and Kesten Green)

HyperStat Online web site (David
Lane)

Institute
for Digital Research and Education at UCLA

Statsblogs (links to many blogger sites)

StatPages web site (John Pezzullo)

StatSci web site (Gordon Smyth)

Talk Stats forum

StackExchange Cross-Validated forum

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