The first step in conducting a regression-based study is to specify a model. In real applications, this is usually the most challenging step - deciding which variables “belong” in the model and which ...

When nonstationary input series are used, you can fit the input variables first with no ARMA model for the errors and then consider the stationarity of the residuals before identifying an ARMA model ...

To produce forecasts for future periods, include observations for the forecast periods in the input data set. The forecast observations must provide values for the independent variables and have ...

Yang, Mochen, Edward McFowland III, Gordon Burtch, and Gediminas Adomavicius. "Achieving Reliable Causal Inference with Data-Mined Variables: A Random Forest Approach ...