I have a time series I want to use as a response in a regression model. The problem is that I suspect that the changes in this variable could be due to sampling error. As a result, I created a moving average of this time series in order to smoothed out the shocks. I am now considering using this as the response in my regression model and not the original series. Note: I am not constructing an ARMA type model. My predictors are also time series such as media spend and consumer confidence scores.

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#### Best Answer

The moving-average will be auto-correlated (even if the original series is not auto-correlated) thus this is a potential violation of the subsequent causal model. I would simply include the variable as a predictor in a Transfer Function also known as Dynamic Regression .

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