Statistical Models Commons^™

A New Diagnostic Test For Regression, Yun Shi

Electronic Thesis and Dissertation Repository

A new diagnostic test for regression and generalized linear models is discussed. The test is based on testing if the residuals are close together in the linear space of one of the covariates are correlated. This is a generalization of the famous problem of spurious correlation in time series regression. A full model building approach for the case of regression was developed in Mahdi (2011, Ph.D. Thesis, Western University, ”Diagnostic Checking, Time Series and Regression”) using an iterative generalized least squares algorithm. Simulation experiments were reported that demonstrate the validity and utility of this approach but no actual applications were …