Definitions
from Wiktionary, Creative Commons Attribution/ShareAlike License.
 noun mathematics An
autoregressive process that is used tomodel many types of natural behaviour
Etymologies
from Wiktionary, Creative Commons Attribution/ShareAlike License
Examples

To draw that conclusion, the IPCC makes an assumption about the global temperature series, known as the "AR1" assumption, for the statistical concept of "firstorder autoregression."

Mr. Sims's big contribution was to use a statistical tool, the vector autoregression VAR, to model the macroeconomy and make macro forecasts.

Barro has what sounds like a vector autoregression to predict payroll employment.
The Two Employment Surveys, Again, Arnold Kling  EconLog  Library of Economics and Liberty

Apparently some guy called Ronald did the heavy lifting while Herman gave speeches.7.28pm: This is a debate about economics – and since most people don't know their vector autoregression from their complementary cumulative distribution functions, help is at hand on this live blog.
GOP presidential economics debate in New Hampshire  as it happened

If Nathan's objection to Charlie's hypothesis is correct, then there are two ways of setting up a vector autoregression of, say, the percent change in the S&P 500 and the change in Obama's lead over McCain that should address this concern:
What Caused the Panic?, David Henderson  EconLog  Library of Economics and Liberty

Stern (1993) tests US data (19471990) for Granger causality in a multivariate setting using a vector autoregression (VAR) model of GDP, energy use, capital, and labor inputs.

We could be being fooled by random walks, autoregression and persistent noise.

The purpose of autoregression is to figure out how Xt varies as a function of Xt1.

Rather than using a lagged regression model, incorporating predictors from years prior to (and sometimes following) the predictand climate year (e.g., Briffa et al., 1983), the chronology was instead statistically prewhitened and the residuals from a general autoregression model were used for estimating past climate variability.

Abstract: We formulate generalized maximum entropy estimators for the general linear model and the censored regression model when there is first order spatial autoregression in the dependent variable and residuals.
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