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Time Series Regression Models

Bayesian linear regression models and regression models with nonspherical disturbances

Multiple linear regression models assume that a response variable is a linear combination of predictor variables, a constant, and a random disturbance. If the variables are time series processes, then classical linear model assumptions, such as nonspherical disturbances, might not hold. For more details on time series regression models and their departures from classical linear model assumptions, see Time Series Regression I: Linear Models.

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