regression does not imply causation

there are diff b/w regression and correlation. In regression, the variables are
treated asymmetrically (explanatory variables are random and dependent is fixed)
and we try to estimate the value of one by finding a relationship with the othe
rs. In correlation, the variables are treated symmetrically, both are random and
we tend to find out the strength of linear relationship b/w the two.
explanatory is the regressor and Y is the regrassand. we regress Y on X.
types of data- time series, cross sectional(heterogenous-size and scale must be
taken into account), pooled(cross sectional+time series) panel(special type of p
ooled data with the same cross sectional unit-family or firm).
https://sites.google.com/site/econometricsacademy/econometrics-models/panel-data
-models
856
do we need rebasing for regression?
why log transformation is used and when?
diff between regression and time series anlaysis?
regression and causality?
how do we come to know var is to be appplied or panel? what all test need to be
done before it?
confidence interval of ACF. why cant Q/Lb test be used everytime for checking st
ationarity?
################################################################################
############################
breusch godfrey
durbin watson ( d=2 for 0 d<2 means positive)
portmateau
ljung box test - for serial autocorrelation and arch effects also
for stationarity - DF and ADF, PP test.
if non stationary- check cointegration (residuals will be stationary)/ spurious
regression, we can make it difference staionary or trend stationary (take the re
siduals of the normal regression) and apply arimax- univariate or VAR multivaria
te ( granger causality, impulse response)
if stationary- check for granger causality
check ACF sample covariance at lags/variance
VARs are implemented in the vars package in R. It contains a function VARselect
to choose the number of lags p using four different information criteria: AIC, H

Q, SC and FPE. We have met the AIC before, and SC is simply another name for the
BIC (SC stands for Schwarz Criterion after Gideon Schwarz who proposed it). HQ
is the Hannan-Quinn criterion and FPE is the Final Prediction Error criterion.3 Ca
re should be taken using the AIC as it tends to choose large numbers of lags. In
stead, for VAR models, we prefer to use the BIC.

################################################################################
##################################
Branch and bound:
http://www.biostat.jhsph.edu/~iruczins/teaching/jf/ch10.pdf
http://cran.r-project.org/web/packages/leaps/leaps.pdf
http://www.stat.columbia.edu/~martin/W2024/R10.pdf
http://www.stats.uwo.ca/faculty/aim/tsar/tsar.pdf
to check how much differencing is required:
https://www.otexts.org/fpp/8/1
To check: S&P data is return or price, and all other variables as well
How to transform variables for stationarity- units should be kept same? or to s
tandardize the data? check if the data has negative values- log makes no sense t
hen- it smoothes out the data
Also when does regression give NA values.
Good paper: macrofactors and stock prices.
http://www.ejbe.org/EJBE2012Vol05No10p25NAIK-PADHI.pdf