Beta Regression with Autoregressive Errors for Interrupted Time Series Analysis of Proportion and Rate Outcomes: A Simulation Study
中断时间序列中具有自回归误差的贝塔回归AI 解读 ↓
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中断时间序列中具有自回归误差的贝塔回归AI 解读 ↓
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Interrupted time series analyses (ITSA) of proportion and rate outcomes are frequently estimated using ordinary least squares regression despite the bounded nature of these outcomes. When methods appropriate for bounded outcomes are used, the standard approach is a quasi-likelihood generalized linear model (GLM) with heteroskedasticity- and autocorrelation-consistent (HAC) standard errors. However, no existing estimator jointly models the beta-distributed conditional density and autoregressive (AR) error structure. We introduce betark, a Stata implementation of a joint conditional maximum likelihood estimator for beta regression with AR(k) errors based on a recursive substitution that yields a closed-form conditional beta likelihood with autoregressive dependence of arbitrary order. Unlike two-stage approaches, betark jointly estimates the mean, precision, and AR(k) coefficients in a single likelihood, so reported standard errors directly account for autocorrelation without separate correction. A Monte Carlo study compared betark with a quasi-binomial GLM using Newey-West HAC standard errors across AR(1)-AR(3) processes, three series lengths, and four effect sizes in a single-group ITSA design. Both methods were essentially unbiased, but betark produced better-calibrated inference than GLM+HAC in most scenarios, with the largest gains under highly persistent autocorrelation, where GLM+HAC Type I error exceeded 60% for short series. Misspecifying the AR order by one lag and varying the starting mean and pre-intervention trend had only modest effects on performance. However, betark's own Type I error remained elevated under highly persistent AR(3) processes even for the longest series examined.
HAC 标准误估计的统一频域交叉验证方法
A unified frequency domain cross-validation (FDCV) method is proposed to obtain a heteroskedasticity and autocorrelation consistent (HAC) standard error. This method enables model/tuning parameter selection across both parametric and nonparametric spectral estimators simultaneously. The candidate class for this approach consists of restricted maximum likelihood-based (REML) autoregressive spectral estimators and lag-weights estimators with the Parzen kernel. Additionally, an…
未知形式异方差下分数阶时间序列的准极大似然与 bootstrap 推断
We consider the problem of conducting estimation and inference on the parameters of univariate heteroskedastic fractionally integrated time series models. We first extend existing results in the literature, developed for conditional sum-of-squares estimators in the context of parametric fractional time series models driven by conditionally homoskedastic shocks, to allow for conditional and unconditional heteroskedasticity both of a quite general and unknown form. Global…
混合模型的 Whittle 似然及其地下水位时间序列应用
Understanding the processes that influence groundwater levels is crucial for forecasting and responding to hazards such as groundwater droughts. Mixed models, which combine a fixed mean, expressed using independent predictors, with autocorrelated random errors, are used for inference, forecasting and filling in missing values in groundwater level time series. Estimating parameters of mixed models using maximum likelihood has high computational complexity. For large datasets,…
基于条件异方差识别日度油价冲击及其不确定性
This paper develops a daily structural VAR for identifying oil price shocks from conditional heteroskedasticity and quantifies the transmission of their timevarying uncertainty. Identification exploits volatility clustering and spillovers in a structural GARCH specification and the complete identified set is derived. We derive covariance impulse response functions and introduce a time-varying forecast error variance decomposition (TV-FEVD) that allows for a decomposition of…
Hájek 卷积定理的二阶扩展及统计应用
For a class of regular estimators, Hájek, in his celebrated ``Convolution Theorem,'' showed that the asymptotic distribution of a regular estimator is the convolution of the distribution of an efficient estimator and some residual distribution. This result constitutes the foundation of the concept of asymptotic efficiency of regular estimators. In this paper, we provide a second-order version of that classical result. Introducing a class of second-order regular estimators…
弱依赖估计方程的两点依赖野生自助法
This paper develops a general two-point dependent wild bootstrap (DWB) for weakly dependent estimating equations. Its key feature is that the two-point marginal distribution and the latent serial dependence specification can be chosen separately. The construction combines a normalized two-point distribution with a stationary latent Gaussian process via a Gaussian copula transformation, includes dependent Rademacher and Mammen multipliers, and nests the classical iid…