Revisiting simple linear regression with autocorrelated errors

DOI10.1093/BIOMET/91.1.240MaRDI QIDQ5456567zbMATH OpenOpenAlexFDO

Authors Jaechoul Lee, Robert Lund

Publication date 8 April 2008

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/91.1.240

zbMATH Keywords

generalised least squaresordinary least squaressimple linear regressiontime series

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Penalized weighted composite quantile regression in the linear regression model with heavy-tailed autocorrelated errors
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• A seasonal analysis of riverflow trends
• Simple linear regression with multiple level shifts
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• A likelihood for correlated extreme series
• A data-driven approach to detecting change points in linear regression models
• Spatiotemporal event studies for environmental data under cross-sectional dependence: an application to air quality assessment in Lombardy
• Poisson count time series
• Joint conditional quantiles inference of multivariate response regression model with VAR(q) error and its application in evaluating energy efficiency
• Multiple changepoint detection for non-Gaussian time series
• Confidence intervals for long memory regressions
• Revisit of Sheppard corrections in linear regression

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