Autocorrelation Effects on Least-Squares Intervention Analysis of Short Time Series
Bibliographic Data
| ID | 20281162 |
|---|---|
| Authors | Bradley E Huitema (0000-0002-7803-4249, ., corresponding author), Joseph W McKean (0000-0003-1778-5564), Scott Mcknight (Western Michigan University), Scott D McKnight (Western Michigan University) |
| Year | 1999 |
| Volume | 59 |
| Issue | 5 |
| Pages | 767-786 |
| Publication date | 1999-10-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Educational and Psychological Measurement (JOURNAL) |
| Journal identifiers | ISSN: 0013-1644 • E-ISSN: 1552-3888 |
| Publisher | SAGE Publications (PUBLISHER • US) |
| DOI | 10.1177/00131649921970134 |
| OpenAlex | W1993419582 |
| Language | EN |
| Citations received | 4 |
| References cited | 15 |
Several issues regarding the effects of autocorrelated errors on Type I error in ordinary least-squares models are clarified. Although autocorrelated errors have a large effect on both omnibus F tests and tests on individual intervention effect coefficients in many applications, there are exceptions that have not been pointed out previously. It is demonstrated that under certain conditions, distortion in Type I error is far less than is predicted by asymptotic theory. It is shown that these exceptions occur because the effect of autocorrelated errors is dependent on (a) the type of parameters (e.g., level change and/or slope change) required in the model, (b) the number of variables in the design matrix, and (c) the sample size. Because existing time-series methods perform poorly with small samples, this may be a useful finding in some situations; however, a better general solution is to use a recently developed small-sample method
Autocorrelation · Distortion (music) · Econometrics · Generalized least squares · Least-squares function approximation · Ordinary least squares · Sample size determination · Series (stratigraphy) · Statistics · Time series · Type I and type II errors · Applied Mathematics · Computer Science · Mathematics · Statistical and numerical algorithms · Statistical Methods and Bayesian Inference · Statistical Methods and Inference
| Citations per year | 0.17 |
|---|---|
| Citation span | 2003 - 2021 (19) |
| Highly cited | No |