Timeline for Why is it valid to detrend time series with regression?
Current License: CC BY-SA 3.0
13 events
| when toggle format | what | by | license | comment | |
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| Feb 28, 2017 at 0:00 | vote | accept | FarrukhJ | ||
| Feb 10, 2017 at 15:13 | comment | added | Richard Hardy | Perhaps more importantly, the OLS estimator of the coefficient on a linear trend converges a whole order of magnitude faster (at a rate $n^{-3/2}$) to its true value than for stationary regressors ($n^{-1/2}$), which means you can consistently estimate the trend even if you neglect the stationary variables. This is in contrast to estimating the effects of stationary variables one by one, where you lose consistency if you omit variables. | |
| Feb 10, 2017 at 14:21 | comment | added | Ben Bolker | I don't have the time to write a proper answer/document this, but in general serial correlation does not bias the results of a linear regression (it alters the appropriate computation of the standard errors, confidence intervals, etc.). This makes the classic two-stage approach (detrend, then analyze for correlation) sensible. (e.g. some googling of "serial correlation linear regression unbiased leads to fmwww.bc.edu/ec-c/f2010/228/EC228.f2010.nn12.pdf ) | |
| S Feb 10, 2017 at 8:10 | history | suggested | smci | CC BY-SA 3.0 |
clarify question
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| Feb 10, 2017 at 8:06 | history | tweeted | twitter.com/StackStats/status/829964730609577984 | ||
| Feb 10, 2017 at 8:01 | comment | added | Matthew Gunn | What do you mean precisely by detrend? | |
| Feb 10, 2017 at 7:51 | review | Suggested edits | |||
| S Feb 10, 2017 at 8:10 | |||||
| Feb 10, 2017 at 7:34 | answer | added | DeltaIV | timeline score: 3 | |
| Feb 10, 2017 at 7:27 | answer | added | Matthew Gunn | timeline score: 15 | |
| Feb 10, 2017 at 6:00 | answer | added | G_B | timeline score: 6 | |
| Feb 10, 2017 at 5:36 | comment | added | Christoph Hanck | It is not generally true that we make the assumption that the "data" is i.i.d. | |
| Feb 10, 2017 at 4:54 | review | First posts | |||
| Feb 10, 2017 at 6:00 | |||||
| Feb 10, 2017 at 4:51 | history | asked | FarrukhJ | CC BY-SA 3.0 |