> > On Tue, 13 Nov 2001, Wendy (alias Eric Duton?) wrote:
> >
> > > When applying multiple regression on timeseries data, should I check
> > > (similarly to ARIMA-models) for unit roots in the dependent variable
>
> > > and the predictor variables and perform the necessary differencing
> > >
> > > OR
> > >
> > > could I simply start the multiple regression analysis on the pure
> > > timeseries and check the residuals on the general assumptions of
> > > regression analysis (esp. autocorrelation) ?
and I replied:
> > 1. Why do you write as though these were mutually exclusive options?
to which "Eric Duton" responded:
> Actually I'm a bit confused. When looking at a timeseries course they
> stress the need for stationarity of the series.
Courses always simplify, and sometimes oversimplify.
> On the other hand in Multiple regression theory they stress the errors
> should be iid N(0,constant var).
I don't know about "should". It is often convenient if this is true, and
in the nature of things the observed residuals ("errors") always have
mean 0 anyway.
> So strictly speaking it seemed to me I shouldn't
> worry about preliminary stationarity tests in multiple regression
> between timeseries and just check the residuals afterwards. But then I
> saw a paper where they did check for stationarity before estimating the
> parameters ... And of course another where they didn't ... Therefore I'm
> totally lost whether I should or should not carry over the preliminary
> stationarity testing into multiple regression theory when confronted
> with timeseries for Y and X's.
"Should" and "should not" have no meaning to me in the absence of any
context that would indicate the value system, or perhaps the theology,
that specifies the nature of "should". I do not understand why you
waffle around worrying about "should" when you could have been carrying
out BOTH analyses, after which you would know if the difference in
analytical approach entails any difference(s) in results, and whether any
such difference(s) be interesting enough to pursue and attempt to explain
(via future research).
------------------------------------------------------------------------
Donald F. Burrill [EMAIL PROTECTED]
184 Nashua Road, Bedford, NH 03110 603-471-7128
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