I see this expression in a lot of articles about time-series regression, and I am not sure what it means.
"Autoregression" means estimating a vector from its past values, right? Since we are estimating the data itself, and not the error, how can the error be autoregressive?
I can think of two answers :
- It is referring to the temporally-nonstationary nature of the system, i.e. a regressor we compute for, let's say,
y(1:100)might not work for
- It is referring to accumulated error.
Are one of these correct? Or does it mean something else?
Thanks for any help!