Timeline for Autoregression model with a time trend term. Statistically valid?
Current License: CC BY-SA 3.0
8 events
| when toggle format | what | by | license | comment | |
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| Apr 11, 2013 at 13:58 | vote | accept | J4y | ||
| Apr 11, 2013 at 11:26 | answer | added | vinux | timeline score: 2 | |
| Apr 11, 2013 at 11:24 | comment | added | Glen_b | "Will ... serial correlation be introduced as a result of having both AR terms and the time term?" -- clearly, since AR is already serially correlated; the time trend introduces an additional source of 'dependence'. Often this sort of thing can be identified, but there can be a number of issues. A couple of relevant papers - no.1 no.2 | |
| Apr 11, 2013 at 11:02 | history | edited | J4y | CC BY-SA 3.0 |
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| Apr 11, 2013 at 10:39 | comment | added | J4y | Thank you for your comment. I'm not asking whether it can be written down or not. I'm asking whether it is statistically well specified -i.e. if it has reliable statistical properties. Will the t and F-tests be biased? Will multicollinearity or serial correlation be introduced as a result of having both AR terms and the time term? That sort of thing. | |
| Apr 11, 2013 at 10:01 | comment | added | Glen_b | Well, it's not "an AR model", it's more complicated than that; it's a model with an AR component - but such a model can be written down - indeed you just did it. I imagine you mean to ask something else. | |
| Apr 11, 2013 at 9:23 | review | First posts | |||
| Apr 11, 2013 at 9:42 | |||||
| Apr 11, 2013 at 9:07 | history | asked | J4y | CC BY-SA 3.0 |