Should I be trying to replicate the NEAS results?

[NEAS: This is an independent student project. The NEAS postings are suggestions to get you started. You can construct an ARIMA model, compare two or more models for a given era, compare two or three eras by type of model of by model parameters, examine seasonality, test out-of-sample forecasts, and many other items.]

kquick-

alright, this is JUST my opinion, but here goes...

I see exactly what you're saying.  However, I think you're missing something.  We do not perform a regression on JUST the yt-1 (the first differences)... you perform a regression on TWO columns of data: yt and yt-1.  This is to form a regression model that looks like:

yt = a*yt-1 + b

a would be your AR(1) coefficient, and b would be your... whatever that greek letter is.  Delta?  I dunno.  The circle-ish thing with a squiggly mark growing out the top.  I'm tired, forgive me.

So, although a graph of your first differences should look like a squished together zig zag line, the graph of yt vs. yt-1 hopefully should not, and hopefully you can fit a decent line to it.

Caveat - I haven't gotten to this point yet either, althought I feel confident doing what I plan to do.  I've had trouble getting the regression package in Excel to work.

Anyone else out there agree or disagree on this?