Least Squares Regression Analysis for Trend-Reduced Time Series
- 1 January 1955
- journal article
- research article
- Published by Oxford University Press (OUP) in Journal of the Royal Statistical Society Series B: Statistical Methodology
- Vol. 17 (1) , 91-104
- https://doi.org/10.1111/j.2517-6161.1955.tb00183.x
Abstract
Summary: The difficulties of obtaining a valid estimate of the standard error of a regression coefficient between two time series are discussed. It is shown how a preliminary trend-reducing operation on the series, using a moving average, makes it possible to obtain such a valid estimate. A method of analysis is described, along with considerations which affect the best choice of moving average for the purpose, which is applicable when the local variational properties of the series resemble those of Markoff series.This publication has 9 references indexed in Scilit:
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