# Questions tagged [diagnostic]

Diagnostic measures (such as residuals or some summary statistics calculated from residuals) are used to evaluate some aspect of quality of model fit to data.

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### (Explanatory) Modelling with PMG and MG estimators

Hello kind people of Stackexchange. I happen to be kind of stuck and in need of help. See, I want to make an ARDL model with PMG and/or MG estimator (Pesaran, 1999) (okay, in fact it may be the CCE ...
36 views

### Why should a Li-Mak Test on Squared Standardized Residuals be preferred over a ARCH LM Test or Ljung-Box Test on Squared Residuals?

If I didn't misunderstand the literature, the predominant approach to test for autoregressive conditional heteroscedasticity in (G)ARCH models is to apply the ARCH LM test of Engle or the Ljung-Box ...
27 views

### Residual diagnostics in Dynamic Factor Models (DFM)

I am quite new to Dynamic Factor Models. My main task is to estimate the model on my training data and test the model on my test data set. My question is, should we perform residual diagnostics to an ...
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### Why do regression through the origin when taking residuals of response variable against fitted values regressed against residuals of added var?

I know my title may be a little off, but I'm not sure how to describe the terms I'm talking about in a more concise manner so if there is one do let me know. I finished working through an exercise in ...
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### Different results for residual normal distribution between Jarque-Bera test and Q-Q Plot

I am trying to test for normality of residuals using 2 different ways: Using Jarque-Bera test Q-Q Plot I can see different results, for the JB test the value is 19.9553 with a probability of 0.00005....
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### Diagnostics for Biprobit Model

What is the procedure for assessing the fit of a biprobit model? Unfortunately, I couldn't find this material being covered in the standard statistics or econometric textbooks, which is odd, given the ...
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### Box-Jenkins Methodology: Statistical model checking

According to https://en.wikipedia.org/wiki/Box%E2%80%93Jenkins_method : Statistical model checking by testing whether the estimated model conforms to the specifications of a stationary univariate ...
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### Diagnostic Accuracy: AUC vs cross-validation accuracy

Can someone please explain the difference between the diagnostic accuracy from the AUC model vs diagnostic accuracy in the below code? Note: I found the below code at the bottom of this forum/page: ...
21 views

### Residual Diagnostics in Vector Autoregression (VAR) model

My target is to forecast GDP and I have 5 predictors. I estimated a VAR model and the reason why I employed a VAR is that since it considers all variables as endogenous. Since I am only interested in ...
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### Diagnostic probability plots in logistic regression

There is some discussion on StackExchange about diagnostic plots for logistic regression, but all are focusing on "residuals", for which there is not even a consensus how to define them for ...
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### How to do a post estimation of BEKK-GARCH?

How to do a diagnostic check for BEKK-GARCH estimation? Should we check GARCH effect in the residuals and decide from that because variance residuals and mean-variance of residuals are given in the ...
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### MCMC diagnostics for pathological distributions (with undefined moments)

Can someone point out some appropriate diagnostic metrics for MCMC chains associated to pathological distributions (e.g., Cauchy)? I believe standard tools such as integrated autocorrelation time, ...
54 views

### Model Diagnostics in Multiple Imputation

When using multiple imputation, what is the best way to run model diagnostics? In a related post here (Multiple Imputation and Regression Model Diagnostics), one option in the accepted answer was ...
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### Model diagnostics for multi-state models in survival::coxph in R

I am trying to fit a multi-state model using the coxph function from the survival package in R and I want to perform some model ...
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### Is this linear model a good fit?

Is this simple linear regression a good fit? Are there any transformations that would improve it? The data is discrete interval count vs discrete interval count (the count of steps walked per time) ...
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### Skewed normal distribution

I've trained many mixed effects models and plotted the residuals vs the fitted and found this skew is appearing in many of my models. I'm unsure if this shows that normality is being violated, to me ...
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### Lift Charts and Significant Predictors

Suppose I have two models, Model A and Model B. Suppose each of them have the same set of predictors, the only difference is ...
22 views

### KMO and Cronbach's Alpha in a multiple regression

I am trying to figure out a reviewer's comments on a manuscript I have submitted. In the paper I fit multiple linear regressions using OLS. The cross-sectional observations are countries. My dependent ...
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### heteroskedasticity of surrogate residuals for ordinal logisitic regression

I am fitting a ordinal logistic regression. The real model is multivariate, but I am using a bivariate version for simplicity in this question. Most references I have seen do not list ...
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### R: ACF/PACF plots contradict Breusch-Godfrey test results

I run a linear regression of y on x and test the residuals for serial correlation. The Breusch-Godfrey test has us conclude that we fail to reject the null hypothesis that each of the autocorrelations ...
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### Artificial Neural Network diagnostics plots

I am building my first ANN ever (for regression). I have tuned it with grid search and now I would like to know how I can show that my model is good. I was wondering if you could provide me with some ...
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### Model Verification for Gamma GLMM, different between qqplot and DHARMA

I am working with a dataset where the response variable looks like an in-between of normal and gamma distribution Edit: Including model formula and output, as requested, below ￼ I’m using lme4 ...
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### DHARMa testZeroInflation: how to interpret output?

I'm analyzing count data with a negative binomial GLMM via the R package glmmTMB and lme4. I'm running DHARMa diagnostics, one of which is testing for zero inflation and I'm having some trouble ...
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### Using multiple software in a meta-analysis

I am currently performing a meta-analysis of diagnostic test accuracy (DTA). I am planning to perform a univariate meta-analysis to estimate the pooled diagnostic odds ratio (DOR) with R. Then, I ...
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### R- regression diagnostics for big data

I have a bid dataset (3,700,000 obs) and I would like to try multiple regression. I have used biglm library and it is fine. However, I have problems (not enough memory) to produce diagnostic plots. ...
229 views

### DHARMa: quantile deviations detected

I am in the process of fitting a GLMM to my count data: I used a zero-inflated poisson with quadratic term: ...
37 views

### Is there a name for 'heteroskedasticity' but for shape, skewness or kurtosis of the distribution?

Heteroskedasticity means that the variance of the residuals changes with respect to input variables. Is there a name for an analogous concept where the shape of the distribution, i.e., skewness, ...
39 views

### Residual of ARIMA model

I've been using ARIMA recently so I'm a little bit unsettled in the chart interpretation. Currently I have 2 pictures of Ljung box and Residual in ARIMA (2,1,2). Can you help me comment on these 2 ...
150 views

### Result of a diagnostic test of a predictive model looking too good

I have created a predictive model that outputs a predictive density. I used 1000 rolling windows to estimate the model and predict one step ahead in each window. I collected the 1000 predictions and ...
239 views

### $H_0$ vs $H_1$ in diagnostic testing

Consider diagnostic testing of a fitted model, e.g. testing whether regression residuals are autocorrelated (a violation of an assumption) or not (no violation). I have a feeling that the null ...
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### Demonstrating that proposed cutoff score is non optimal

I have a small data set with a test score and classification (positive or negative diagnosis). There is already clinical evidence that the cut point suggested by the test manufacturer produces too ...
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### Standardized residuals check in a ARMA-GARCH model

If standardized residuals of an ARMA-GARCH model show some autocorrelation, while the squared standardized residuals look white noise, what can we infer about the specification of the model?
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### How to Diagnose a GEE model?

I have been looking around the internet still can't find no definitive answer, After I fit my GEE model, what are the diagnosis that I can do to check the fit of my model? Another side question about ...
150 views

### Good convergence diagnostic; bad trace plot

I am fitting a multi-level state-space model and am running into a situation where the Gelman-Rubin diagnostic shows acceptable convergence (R-hat < 1.01), but when I look at the trace plots of the ...
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### Why do I see a pattern in the residuals in this well specified model?

I made a model using simulated data. I then fitted an OLS on it. I know the assumptions of OLS are honored since this is simulated data. Regardless there is a pattern in the residuals, they don't seem ...
192 views

### Pearson Residuals in the Poisson GLM

I am quite new to GLMs and have just fit a Poisson Regression in R to model a positive response $y$. I now want to check how well it fits the data. In particular, I am unsure whether the variance ...
57 views

### Diagnostic checks and optimization of (ElasticNet) penalized logistic regression models (using glmnet and caret)

I was recently advised to use a penalized logistic regression model to better grasp what drivers influence my outcome (i.e. the eradication success/failure of an invasive plant species after a ...
25 views

### Heteroskedasticity Arima Residuals with Xregs using Breusch Pagan

I know there are several related questions, but my question is very specific. If I want to test the heteroskedasticity of the residuals of an Arima model with external regressors, what formula should ...
36 views

### How to correctly specify and diagnose one-inflated beta regression mixed-models (using GAMLSS)

I would like to find out what variables influence/explain an efficiency score for an invasive species control method. As the score is defined on (0,1] and as some observations were not independent, I ...
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### Partial regression plots for post modeling processing

Reading Feature Engineering and Selection I came across partial regression plots. The authors put them in the section dedicated to post modeling processing (in the link), which confuses me a bit. ...
185 views

### Using the Hat Matrix to detect influential observations in logistic regression

I'm currently running residual diagnostics for a logistic regression model, aiming to identify possible influential record could influence the parameters estimate. I wonder about if it is possible to ...
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### Which tests should be perfomed after quantile regressions have been estimated?

I´m performing a quantile regression. Initially I opted for a linear regression, but as I suspected that variations in X had different effects on the outcome variable across the distribution, I ...
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### Difference between leverage plot, partial regression plot/added-variable plot, and component-plus-residual plot?

What is the difference between leverage plot, partial regression plot/added-variable plot, and component-plus-residual plot? In my intro stats course, I was only taught leverage plots, and not the ...
29 views

### Residual diagnostics for GLMM using Gamma distribution with identity link

I am using a two-level generalized linear mixed model (GLMM) with Gamma distribution and identity link. In terms of residual diagnostics, I understand that the following assumptions needs to be ...
54 views

### Interpretation of ACF and PACF plots

I have obtained these plots for my residuals, I used type = "pearson" as I am working with poisson distributed response data recorded yearly. Looking at ...
234 views

### DHARMa diagnostics: residuals vs. predicted for categorial predictor

I fitted different response variables (one after each other) to the same categorial predictor. Since it's a categorical predictor I get a boxplot for the residual vs. fitted with the DHARMa ...
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### Using diagnostic plots in order to decide variables to set up multiple linear regression - R

I'm working with a baseball dataset using R. The dataset contains the baseball season records for teams between the years 1871 and 2016. One of the columns has the number of wins for the season and ...
151 views

### incongruent results of testZeroInflation (DHARMa) and check_zeroinflation (performance)

I have a count data set addressing the number of seeds being produced in dependence on the distance to a field margin (as categorical variable). From the histogram I guessed that zero-inflation might ...