Tagged Questions

0
votes
0answers
29 views

regression: handling negative autocorrelation in R?

I am running a regression in the R package nlme (but am not constrained to only that package). I am changing the spatial scale of the analysis over a few regression runs as a form of sensitivity ...
5
votes
2answers
177 views

How to tell if residuals are autocorrelated from a graphic

When you do an OLS regression and plot the resulting residuals, how can you tell if the residuals are autocorrelated? I know there are tests for this (Durbin, Breusch-Godfrey) but I was wondering if ...
3
votes
2answers
294 views

Regression to obtain autocorrelation measure (AR(1))

This is not homework. I am a frequent user on math.stackexchange, but I am learning a bit about time series models and came across this example. Any ideas would be greatly appreciated. A linear ...
3
votes
0answers
93 views

Making new variable instead of correcting for temporal autocorrelation in a GLMM. Is it a valid alternative?

I am doing some forest disturbance research, in which the aim is to predict the probabilities of wind damage occurrence in forest stands of different site (altitude, slope steepness) and stand ...
11
votes
3answers
393 views

Automated procedure for selecting subset of data points w/ strongest correlation?

Is there some standard procedure (such that one might cite it as a reference) for selecting the subset of data points from a larger pool with the strongest correlation (along just two dimensions)? ...
7
votes
1answer
168 views

Modeling a spatial trend by regression with the $(x,y)$ coordinates as predictors

I plan to include coordinates as covariates in the regression equation in order to adjust for the spatial trend that exists in the data. After that, I want to test residuals on spatial autocorrelation ...
1
vote
0answers
127 views

Some questions about VAR-models, $\Phi$-matrix-coefficients and partial-(auto-)correlations

There is an abundance of literature about VAR-models, which teaches how to test preconditions, specify and estimate VAR-models for stationary and also cointegrated time-series. However, I'm still a ...
3
votes
3answers
316 views

Does autocorrelation cause bias in the regression parameters in piecewise regression?

In simple linear regression problems, autocorrelated residuals are supposed not to result in biased estimates for the regression parameters. Can the same be said for piecewise regression? Suppose I ...
1
vote
0answers
110 views

How do I model a sine/cosine on a cycle derived from a Baxter filter?

I have a cycle that I filtered out from an original series using a Baxter deterministic filter. However, the cycle plot still has some noise and I would like it to be more determinisitc and follow a ...
6
votes
1answer
166 views

How to analyze GEE with unevenly spaced observations?

I am interested in using Generalized Estimating Equations (GEE) to model longitudinal count data. I recorded animal count observations on the same sites on many days but the spacing of the ...
5
votes
2answers
369 views

Can I trust a regression if variables are autocorrelated?

Both variables (dependent and independent) show autocorrelation effects. Data is time-series and stationary When I run the regression residuals appear not to be correlated. My Durbin-Watson statistic ...
4
votes
1answer
254 views

In spatial regression, what is a spherical autocorrelation structure?

I have a large gridded dataset for the globe (i.e a spherical, wraparound surface) that I'm applying spatial regression to (using a CAR model). I've been using the default autocorrelation function, ...
1
vote
1answer
191 views

Are HAC estimators used for estimation of regression coefficients?

The references I can find on HAC procedures (like Newey-West) in regression focus on the standard error of the estimated regression coefficients and hypothesis testing involving the same. I cannot ...
7
votes
3answers
7k views

How to test the autocorrelation of the residuals?

I have a matrix with two columns that have many prices (750). In the image below I plotted the residuals of the follow linear regression: ...
5
votes
2answers
244 views

How can I compute regression for several longitudinal data sets (thus, with auto-correlated error)?

My actual project is a bit complicated, but I'll explain by analogy (which I hope facilitates response): I have 3 substances, say water, motor oil, and ethanol. For each substance, I have 5 samples ...
6
votes
1answer
733 views

Time series regression with overlapping data

I am seeing a regression model which is regressing Year-on-Year stock index returns on lagged (12 months) Year-on-Year returns of the same stock index, credit spread (difference between monthly mean ...