Kellogg School of Management

Practical Regression: Time Series and Autocorrelation

This is the twelfth in a series of lecture notes which, if tied together into a textbook, might be entitled “Practical Regression.” The purpose of the notes is to supplement the theoretical content of ...
Simon Fraser University

Example 30.2: Regression with Mileage Data

The P and CLM options in the MODEL statement produce the table shown in Output 30.2.2. For each observation, the observed, predicted, and residual values are shown. In addition, the 95% confidence ...
Simon Fraser University

Input Variables and Regression with ARMA Errors

To use input series, list the input series in a CROSSCORR= option on the IDENTIFY statement and specify how they enter the model with an INPUT= option on the ESTIMATE statement. For example, you might ...
JSTOR Daily

Autocorrelation with Heteroscedasticity: A Note on the Robustness of the Durbin-Watson, Geary and Henshaw Tests

Biometrika is primarily a journal of statistics in which emphasis is placed on papers containing original theoretical contributions of direct or potential value in applications. From time to time, ...