At my job interview, the new product development director, an econometrician, explained that he tried to forecast auto parts’ sales using regression. His model was
sales forecast = SUM[b(s)*n(t-s)] + noise; s=1,2,…,t,
where b(s) are regression coefficients to be estimated, n(t-s) are counts of vehicles of age t-s in the neighborhood of auto parts stores. The director admitted to regression analysis problems, because of autocorrelation among the n(t-s) vehicle counts, no pun intended.