# Tagged Questions

Refers to a general estimation technique that selects the parameter value to minimize the squared difference between two quantities, such as the observed value of a variable, and the expected value of that observation conditioned on the parameter value. Gaussian linear models are fit by least ...

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### Extract the different components of variance in a linear mixed model in R

Consider a mixed model as follows. ...
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### Recursive least squares with forgetting factor - parameter covariance

The recursive least-squares algorithm equipped with forgetting factor is summarized as \begin{array}{l} \hat \theta \left( t \right) = \hat \theta \left( {t - 1} \right) + L\left( t \right)\left[ {y\...
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### What could be the reason for a coefficient's change in magnitute and/or sign for identical specifications of OLS and Random Intercept Models?

What could be the reason(s) for a coefficient's change in magnitute and/or sign for identical specifications of OLS and Random Intercept Models? Further, does the Random Intercept Model, controlling ...
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### How to deal with model misspecification - linktest

I am running an OLS model to examine to what degree is the physical quality of life (SF-12 scale) is associated with depression (HADS scale), adjusting by age and the presence of an acute illness (yes/...
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### Confusion about when to use least-squares regression analysis

I am going through an article titled On the misuse of regression in earth science. On page 65, the author say as follows about the least-squares method. It is usual to require that the ...
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### Too many variables and multicollinearity in OLS regression

After reading material related to my topic, I understood that multicollinearity among predictors would result in singular matrix $X'X$, and that leads to noninvertible matrix. Thus, the solution will ...
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### Calculate interaction sum of squares by hand

I'm trying to manually calculate the sums of squares (SSs) in a two-way ANOVA in Python. However, I cannot seem to get the correct result for the interaction SS. I'm using the ...
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### Is OLS Unbiased on Count Data in the Positive, Real Domain?

On the domain of positive real number is OLS on count data a consistent estimator of coefficients? I am trying to understand if the estimator is inefficient or produces biased SEs but is nevertheless ...
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### LASSO with $\lambda = 0$ and OLS produce different results in R glmnet [migrated]

I expect LASSO with no penalization ($\lambda=0$) to yield the same (or very similar) coefficient estimates as an OLS fit. However, I get different coefficient estimates in R putting the same data (x,...
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### Arima and lm not giving same coefficients in R

I'm fitting an arima(1,0,0) model using the forecast package in R on the usconsumption ...
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### Best fitting linear transformation (not quite regression)

This is related to a previous question: Doing a "linear regression" with 2d points under a linear transformation Actually it is the 1D version of that question. This problem is similar to ...
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### Can I apply OLS (multiple regression) to panel data to identify significant variables?

I have panel data for a 5-year period and want to explore the determinants of car prices (number of doors, house power, etc.). Is it appropriate to use OLS or multiple regression to explore the ...