Regression Analysis

1. Time Series Analysis

2. Covariance-stationarity:

3. Co-integration
4. Seasonality : add lagged dependent variable as independent variable

Statistical Tests

1. Dicky-Fuller Test
2. Unit Root Test
3. Box Test
   1. Ljung-Box

4. Dickey-Fuller- Engle-Granger (DF-EG Test)

   1. $$H_0: $$ No conintegration

5. AR Model

   1. Assumption: covariance-stationary (weak-stationary). No auto-correlation beyond lag p. No conditional Heteroskedasticity
      2.

6. MA Model

7. 1. 1. 1. Linear Trend Model