AutoCorrelationLRtest: Test for autocorrelation in the residuals of a RE-EM tree

In REEMtree: Regression Trees with Random Effects for Longitudinal (Panel) Data

Test for autocorrelation in the residuals of a RE-EM tree

Description

This function tests for autocorrelation in the residuals of a RE-EM tree using a likelihood ratio test. The test keeps the tree structure of the RE-EM tree object fixed and uses a standard likelihood ratio test on the linear random effects model.

Usage

AutoCorrelationLRtest(object, newdata=NULL, correlation=corAR1())

Arguments

object	A RE-EM tree
newdata	Dataset on which the test is to be performed; if none is given, the original dataset is used
correlation	Type of correlation to be tested for in the residuals. The correlation can be any of type corClasses.

Details

In general, newdata is likely to be the data used to estimate object. The RE-EM tree can be estimated with or without allowing for autocorrelation. Because the estimated tree may differ depending on whether autocorrelation is allowed in the RE-EM tree estimation process, but we recommend testing based on the tree estimated with autocorrelation allowed and the tree estimated without autocorrelation allowed.

Value

correlation	Type of correlation used in testing
loglik0	Likelihood of the random effects model if there is no autocorrelation
loglikAR	Likelihood of the random effects model if autocorrelation (of type AR(1)) is estimated
pvalue	P-value of the likelihood ratio test

Author(s)

Rebecca Sela [e-mail]

References

Sela, Rebecca J., and Simonoff, Jeffrey S., “RE-EM Trees: A Data Mining Approach for Longitudinal and Clustered Data”, Machine Learning (2011).

See Also

corClasses

Examples

data(simpleREEMdata)

# Estimation without autocorrelation
simpleEMresult<-REEMtree(Y~D+t+X, data=simpleREEMdata, random=~1|ID)
# Estimation with autocorrelation
simpleEMresult2<-REEMtree(Y~D+t+X, data=simpleREEMdata, random=~1|ID, correlation=corAR1())

# Autocorrelation test based on the first tree
AutoCorrelationLRtest(simpleEMresult, simpleREEMdata)
# Autocorrelation test based on the second tree
AutoCorrelationLRtest(simpleEMresult2, simpleREEMdata)
# Autocorrelation test with an alternative correlation structure
AutoCorrelationLRtest(simpleEMresult, simpleREEMdata, correlation=corCAR1())

REEMtree documentation built on Oct. 25, 2023, 1:08 a.m.