Time Series Regression Analysis

[Guest]

One of my colleagues pointed out that I could not perform the regression
analysis I was working on (comparing several sets of time series data)
because of the problem of non-independence of errors. Can anybody suggest a
good add-in for analyzing time series data that addresses time series
regression analysis (note: I'm pretty sure that the analysis toolpack doesn't
do the trick but let me know if i'm missing something)?

Thanks,
Alex

 

[Michael R Middleton]

Alex -

One of my colleagues pointed out that I could not perform the regression
analysis I was working on (comparing several sets of time series data)
because of the problem of non-independence of errors. <

Perhaps your colleague was referring to autocorrelation of residuals
("errors"), a common problem with time series models. Assuming your data are
arranged in time sequence, it's easy to check visually by selecting the
residuals from the Regression tool output and creating a Line chart. Or, you
can check for lag 1 autocorrelation of residuals by computing the
Durbin-Watson statistic using worksheet formulas. If your model does have
autocorrelation of residuals, a possible solution is to include lag 1 of the
Y variable as one of the explanatory X variables in your model.

Can anybody suggest a good add-in for analyzing time series data that
addresses time series regression analysis (note: I'm pretty sure that the
analysis toolpack doesn't do the trick but let me know if i'm missing
something)? <

If you go to google.com and enter "excel add-in time series" (without the
quotes), you'll see several. My students and I usually use Excel's
Regression tool, and my book "Data Analysis Using Microsoft Excel: Updated
for Office XP" has several chapters devoted to time series analysis using
Excel's features.

- Mike

www.mikemiddleton.com