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I have some training set data variables $x_1$, $x_2$, $x_3$, $x_4$, and $x_5$ and a response variable $y$. But these are time series data. So the for the same set of values of $x_1$, $x_2$, $x_3$, $x_4$, and $x_5$ the response variable $y$ may be different in different observations. Can anyone please suggest me how to model my linear regression in this case? I am learning newly statistics. Please explain in the simplest way possible.

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migrated from math.stackexchange.com Sep 8 '12 at 8:31

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If I understand correctly, the difference in the dependent variable $y$ may depend: 1) on another variable $x_6$ you didn't detect (it may be the time); 2) on random errors. Which may be your case? –  Libra Sep 3 '12 at 20:53
What is it that you want to test? –  user13253 Sep 8 '12 at 10:35

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