Page 40 - FINAL CFA II SLIDES JUNE 2019 DAY 3
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LOS 8.a: Formulate a multiple regression equation to
describe the relation between a dependent variable READING 9: TIME SERIES ANALYSIS
and several independent variables and determine the
statistical significance of each independent variable.
Linear Trend Model
A linear trend is a time series pattern that can be graphed using a straight line (can be +ve or –ve trend):
Ordinary least squares (OLS) regression is used to estimate the
coefficient in the trend line, which provides:
Same as previous except that (t) takes on the value of the time period.
For example, in period 2 and 3, the equation becomes:
