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Questions tagged [regression]

Techniques for analyzing the relationship between one (or more) "dependent" variables and "independent" variables.

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Failure to replicate calculation of PCA residuals in linear regression with heteroscedasticity

In their preprint, Rocha et al. suggest a new type of residual for linear regression models with heteroscedasticity. They call their new residual PCA residuals. I have tried to replicate some of their ...
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Bounding residual variance with distance from mean

For a linear regression $Y = X\beta + \varepsilon$ with $\varepsilon \sim \mathcal N(0,\sigma^2 I)$, we have $\hat Y = H Y$ for $H = X(X^TX)^{-1}X^T$. This means that $Var(Y - \hat Y) = \sigma^2(I-H)$ ...
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How to compute measures of dispersion and statistical significance of the impacts of a panel Spatial Durbin model (SDM)?

I ran a panel Spatial Durbin model (SDM) and computed the summary measures of impacts (direct, indirect and total). Now, I would like to get measures of dispersion for the impacts estimates as well as ...