I'm analysing returns of funds and i have data on the following for 1000 funds.
- Returns in Period t
- Returns in Period t-1
I want to use a time series model to see how much returns have increased from period 1 to 2(b_1 in the following model). The model i had in mind is the following: $$ y_t = b_0 + b_1(x_t) + e_t $$ Where $y_t$ is the returns in period $t$, and $x_t$ is the returns in period $t-1$.
I've been researching time series models lately and I found that if you have data like I do I need to find the:
Moving Average order
But can't I just see directly that my model is a AR(1) model? Since I'm only using 1 lagged variable? Or do i have to look at graphs to determine the orders?