Статистика и экономика (Aug 2016)

ON THE EFFECTS OF THE PRESENCE AND METHODS OF THE ELIMINATION HETEROSCEDASTICITY AND AUTOCORRELATION IN THE REGRESSION MODEL

  • Nina L. Timofeeva,
  • Artem I. Fedossev

DOI
https://doi.org/10.21686/2500-3925-2014-1-167-170
Journal volume & issue
Vol. 0, no. 1
pp. 167 – 170

Abstract

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The article presents the methodological and technical bases for the creation of regression models that adequately reflect reality. The focus is on methods of removing residual autocorrelation in models. Algorithms eliminating heteroscedasticity and autocorrelation of the regression model residuals: reweighted least squares method, the method of Cochran-Orkutta are given. A model of "pure" regression is build, as well as to compare the effect on the dependent variable of the different explanatory variables when the latter are expressed in different units, a standardized form of the regression equation. The scheme of abatement techniques of heteroskedasticity and autocorrelation for the creation of regression models specific to the social and cultural sphere is developed.

Keywords