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In time series analysis, the moving-average (MA) model is a common approach for modeling univariate time series. The moving-average model specifies that the output variable depends linearly on the current and various past values of a stochastic (imperfectly predictable) term.

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If I were to regress Yt+1 on the simple average of Yt, Yt-1, ..., Yt-k, would I have results similar to a AR(k) model? More specifically, is there any literature on the characteristics of this breed …
asked Jul 30 by matt