Tagged Questions

0
votes
1answer
92 views

Does this histogram of residuals indicate that the residuals are effectively random?

I am studying a univariate and discrete time series. I know that residuals should be effectively random and have a good fit, and should have a bell shape. Does the plot below suggest that the ...
0
votes
1answer
62 views

Confusion about error term in ARMA-model when predicting future values

Let's say I'm fitting data for example to ARMA(1,1)-model: $x_t = \phi x_{t-1} + \epsilon_t + \theta \epsilon_{t-1}$. Now I estimate the parameters $\phi$ and $\theta$ and solve some values for ...
5
votes
2answers
133 views

How to understand the square of an AR(1) process?

I generate an AR(1) process as follows: x=arima.sim(list(order = c(1,0,0),ar=0.67),n=1000,sd=sqrt(0.55)) When I square it, and fit AR(1) to the squared process, ...
2
votes
0answers
125 views

Statistical test for whether a process is a red noise

We know that red noise is the same as a first-order autoregressive (AR(1)) stationary Gaussian process with a positive correlation at unit lag. Does there exist some formal statistical test for red ...
8
votes
3answers
251 views

OLS: $E[\epsilon_{it}^T\epsilon_{it}] \not= 0$ in 1st equation biases standard errors in 2nd equation?

Suppose ${X_{it}},{Y_{it}}$ are time series with $X_{it}\sim N(0.1,1)$, ($\sigma^2(Y_{it}) = 1$ and $mean(Y_{it})$ is similar to that for $X_{it}$, but changes when the dummy = 1). and $t \in ...
5
votes
2answers
1k views

Fitting multiple linear regression in R: autocorrelated residuals

I'm trying to estimate a multiple linear regression in R with an equation like this: regr <- lm(rate ~ constant + askings + questions + 0) askings and ...
2
votes
2answers
208 views

Test for independence of random variables

I have a time series of data (about 300-750 elements, depending on the sample) and a model that has some random residues. I used the Kolmogorov–Smirnov test to make sure that the normality hypothesis ...
3
votes
1answer
167 views

How is it possible that these variances are equal?

I'm using the Fligner-Killen test to analyze the residuals of a linear regression. I subdivide those residuals in three groups and then I do the FK test to check the homogeneity of variances. The ...