[R] Regression on two time series
rdporto1 at terra.com.br
Thu Apr 12 13:40:13 CEST 2007
you're right. It's not legitimate at all. I suggest you
to take a look at the HUGE bibliography on cointegration,
as a start up.
> Dear all R user,
> Please forgive me if my question is too simple.
> My question is related to Statistics rather directly to R. Suppose I have two time series of spot prices of two commodities X and Y for two years. Now I want to see what percentage of spot price of X is explained by Y. Yes I can fit a regression equation of X on Y. But my question is, is it legitimate? Because both series are non-stationary with very high auto-correlation of order 1. And regression analysis is basically designed for cross-sectional data, not for time series data.
> Your help will be highly appreciable.
> Thanks and regards,
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