How do I run a simple time series regression?

Question

Data from 1200 to 1450

Answer 1

Have your time observations in the first column, from 1200-1450, and each variable in a separate column.

You can run a regression with the statistics feature in Excel. SPSS, SAS, STATA and some other statistics programs can also import excel files. Make sure you know which variable is which. So it will look like:


Time trend Y X1 X2
1200 1 .. .. ..

I sometimes use a trend variable, which simply gives a value of 1...n for each of the time observations. You can also use so-caled "dummy" variables, like 0,1 variables, where 0 is the null and 1 denotes the existence of some factor, like say you feel that during a certain time period there was a higher "Y" variable. Denote all time observations with a separate Dummy, coded as "1", for that time, and all others as 0. The dummy variable will tell you how much higher/lower the Y was for the period in comparison to the mean, which is usually your Y intercept (the constant term).