Question

Can an ordinary least squares regression be used with time-series data?

Answer 1

Yes.

Explanation:

Least-squares regression is as applicable to time-series data as it is to data which is dependent on any other variable. One can use least-squares to find a best fit of a function of time to data gathered in a time series.

For example, imagine a pendulum swinging back a forth, and a measurement apparatus which gathers data on the position of the pendulum. This data has a time, `t`, and a position, `x`.

We can use a least-squares approach to determine the coefficients of a fit function, in this case we may be using the following function:

`x(t) = c_1*sin(c_2x-c_3)`

Where we adjust the coefficients `c_1, c_2,` and `c_3` to minimize the sum of squares of the error between the points and the function evaluated at those time values.