On modeling heterogeneity in linear models using trend polynomials

Simple item page
dc.citation.epage86en_US
dc.citation.spage74en_US
dc.citation.volume85en_US
dc.contributor.authorMichaelides, Michael
dc.contributor.authorSpanos, Aris
dc.contributor.avlauthorMichaelides, Michael
dc.contributor.departmentEconomicsen_US
dc.date.accessioned2020-09-25T13:20:34Z
dc.date.available2020-09-25T13:20:34Z
dc.date.issued2019-03-18
dc.description.abstractThe primary aim of the paper is to consider the problems and issues raised when the data exhibit time heterogeneity in the context of linear models. Ignoring time heterogeneity will undermine the reliability of inference and will give rise to untrustworthy evidence. Accounting for it using trend polynomials, however, is non-trivial because it raises several modeling issues. First, when the degree of the polynomial is greater than 4, or so, one needs to deal with the near-multicollinearity problem that arises. The second issue pertains to the type of polynomial that will adequately account for the time heterogeneity. Third, when the trend polynomials are treated as additional regressors, they will give rise to highly misleading statistical results. The paper investigates how different types of polynomials could deal with the near-multicollinearity and the modeling issues they raise, and makes recommendations to practitioners.en_US
dc.description.embargoThis version of the article is available for viewing to the public after May 18, 2022.en_US
dc.description.versionFinal manuscript post peer review, without publisher's formatting or copy editing (postprint)en_US
dc.identifier.citationMichaelides, M., & Spanos, A. (2020). On modeling heterogeneity in linear models using trend polynomials doi:https://doi.org/10.1016/j.econmod.2019.05.008en_US
dc.identifier.doi10.1016/j.econmod.2019.05.008
dc.identifier.issn1873-6122
dc.identifier.urihttps://dspace.allegheny.edu/handle/10456/50996
dc.language.isoen_USen_US
dc.publisherElsevieren_US
dc.relation.ispartofEconomic Modellingen_US
dc.relation.isversionofhttps://www.sciencedirect.com/science/article/pii/S0264999318315177?via%3Dihuben_US
dc.rightsThis is an open access article distributed under the terms of the Attribution-NonCommercial-NoDerivs 2.0 Generic (CC BY-NC-ND 2.0) Creative Commons license.en_US
dc.subjectLinear modelen_US
dc.subjectt-Hererogeneityen_US
dc.subjectNear-collinearityen_US
dc.subjectTrend polynomialen_US
dc.subjectOrthogonal polynomialen_US
dc.titleOn modeling heterogeneity in linear models using trend polynomialsen_US
Files
Original bundle
Now showing 1 - 2 of 2
Thumbnail Image
Name:
2019-05-18_Michaelides_Modeling_Access_Instructions.pdf
Size:
77.73 KB
Format:
Adobe Portable Document Format
Description:
Access Instructions
Download
Thumbnail Image
Name:
2019-05-18_Michaelides_Modeling.pdf
Size:
373 KB
Format:
Adobe Portable Document Format
Description:
Accepted Manuscript
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
61 B
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
Faculty Scholarship and Open Access Collection