Diagnostics for Autocorrelated Regression Models |
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Authors: | Soon-Kwi Kim & Richard Huggins |
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Institution: | Kangnung National University,;La Trobe University |
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Abstract: | This paper discusses the local influence approach to the linear regression model with AR(1) errors. Diagnostics for the autocorrelation models and for the autocorrelation coefficient only are proposed and developed respectively, when simultaneous perturbations of the response vector are allowed. Furthermore, the direction of maximum curvature of local influence analysis is shown to be exactly the same as that in Tsai & Wu (1992) when only the autocorrelation coefficient is of special interest. |
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Keywords: | Autocorrelation observed information matrix direction of maximum curvature |
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