We begin by discussing the concept of autocorrelation, the correlation between a variable at different time points. We then show how generalized least squares (GLS) can be used to fit models with autocorrelated errors. Finally, we demonstrate the benefits of transforming GLS models into least squares (LS) models when it comes to examining model diagnostics.
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A lower triangular matrix is a matrix where all the entries above the diagonal are zero
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Sheather, . (2009). Serially Correlated Errors . In: A Modern Approach to Regression with R. Springer Texts in Statistics. Springer, New York, NY. https://doi.org/10.1007/978-0-387-09608-7_9
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DOI: https://doi.org/10.1007/978-0-387-09608-7_9
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