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Thread: Artificial Time Index Explorer-Forecast

  1. #1

    Default Artificial Time Index Explorer-Forecast

    Hi Mark,

    What is the meaning of artificial time index and the powers of time? If I have say 100 instances then would on day 100 the series would be:


    ArtificialTimeIndex*Lag_Diff-1 = 99 * Diff-1

    ArtificialTimeIndex*Lag_Diff-2 = 98 * Diff-2


    etc...

    What about the squared and cubed Artificial Time Index are those multiplied by the lag too?


    Thanks,
    Mike








    Diff
    ArtificialTimeIndex
    Lag_Diff-1
    Lag_Diff-2
    Lag_Diff-3
    Lag_Diff-4
    Lag_Diff-5
    Lag_Diff-6
    Lag_Diff-7
    Lag_Diff-8
    Lag_Diff-9
    Lag_Diff-10
    Lag_Diff-11
    Lag_Diff-12
    ArtificialTimeIndex^2
    ArtificialTimeIndex^3
    ArtificialTimeIndex*Lag_Diff-1
    ArtificialTimeIndex*Lag_Diff-2
    ArtificialTimeIndex*Lag_Diff-3
    ArtificialTimeIndex*Lag_Diff-4
    ArtificialTimeIndex*Lag_Diff-5
    ArtificialTimeIndex*Lag_Diff-6
    ArtificialTimeIndex*Lag_Diff-7
    ArtificialTimeIndex*Lag_Diff-8
    ArtificialTimeIndex*Lag_Diff-9
    ArtificialTimeIndex*Lag_Diff-10
    ArtificialTimeIndex*Lag_Diff-11
    ArtificialTimeIndex*Lag_Diff-12

  2. #2
    Join Date
    Aug 2006
    Posts
    1,741

    Default

    Powers of time help with modelling long term trends according to Richard Darlington from Cornell. Read through his pages on using standard multiple linear regression for time series (unfortunately only available by the wayback machine these days for some reason):

    http://web.archive.org/web/201302080...es/series0.htm

    The page on the advantages of linear regression discusses the polynomial terms.

    Cheers,
    Mark.

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