Application of Regression Modeling to Data Observed Over Time

Revista Eletrônica de Negócios Internacionais, São Paulo, v.13, n. 3, p. 42 -50, Sep/Dec. 2018

9 Pages Posted: 2 Nov 2018

See all articles by Cléber da Costa Figueiredo

Cléber da Costa Figueiredo

Getulio Vargas Foundation (FGV)

Aldy Fernandes da Silva

Fundação Escola de Comércio Álvares Penteado (FECAP)

Date Written: September 01, 2018

Abstract

The central idea of this text is to guide researchers through the application of regression modeling when the data under analysis are observed over time. In general, there are no doubts regarding the application of this modeling in cross sections. However, when there is dependence on the data over time, some care needs to be taken for the results to be reliable and have the same interpretation of the coefficients obtained using the least squares method. The text begins with a presentation of the concept of autocorrelation and partial autocorrelation to identify and apply autoregressive modeling. Following this approach, the Augmented Dickey-Fuller test for detecting stationarity is presented, an essential condition for the estimators of ordinary least squares to be consistent. The Granger causality test is also presented and an example of regression applied to the series of the Cost of Living Index and the National Price Index for General Consumers. All the examples are presented with the help of Microsoft Excel to universalize the technique.

Keywords: Longitudinal data; Stationarity; Autoregressive models; Granger causality; Lag

JEL Classification: M00, M1, M2, M21, M10

Suggested Citation

Figueiredo, Cléber da Costa and da Silva, Aldy Fernandes, Application of Regression Modeling to Data Observed Over Time (September 01, 2018). Revista Eletrônica de Negócios Internacionais, São Paulo, v.13, n. 3, p. 42 -50, Sep/Dec. 2018 , Available at SSRN: https://ssrn.com/abstract=3264080

Cléber da Costa Figueiredo (Contact Author)

Getulio Vargas Foundation (FGV) ( email )

R. Dr. Neto de Araujo 320 cj 1307
Rio de Janeiro, Rio de Janeiro 22250-900
Brazil

Aldy Fernandes Da Silva

Fundação Escola de Comércio Álvares Penteado (FECAP) ( email )

Av. Liberdade, 532
Liberdade
São Paulo
Brazil

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