Lesson 8: Regression with ARIMA errors, Cross correlation functions, and Relationships between 2 Time Series

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  • Read Pages 30-32 of your text
  • Read Examples 2.8 and 2.9 on pages 60-63 and Section 3.8 on pages 142-145 of your text.
  • Read through the Lesson 8 online notes that follow.
  • Complete Lesson 8 Assignment.


This week we'll start coverage of regression between two time series.

Learning Objectives:

After successfully completing this lesson, you should be able to:

  • Recognize when and how to adjust for residuals with a time series structure
  • Estimate the adjusted intercept and slope
  • Interpret the cross-correlation function
  • Identify and interpret transfer function models