From looking at textbooks, I see that the equation used for estimating auto-regression is different from the equation used to estimate multiple-regression.
But, if I used successive values from a time series with multiple regression, instead of using auto-regression, would I get exactly the same results?
I ask because I would like to use auto-regression on a time series to predict, but I would also like to include other independent variables as well. Should I just use multiple-regression, or is there some better way to do it?
Edit/update: Thanks for the 1 answer so far. Is there any way I can trick or force multiple regression to give the same results as auto-regression, for example by using the differences between successive values in the time series, by using ratios of successive values, or by using logs of all the values, etc?