All Questions
Tagged with bias time-series
32
questions
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30
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Test for Look-ahead bias in Time Series Forecasting
I have a general question regarding testing for look-ahead bias. Is there any technical test for look-ahead bias in training data? Especially in the context of time series forecasting e.g. predicting ...
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9
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Notable changes when modeling unevenly univariate spaced time series as an evenly spaced multivariate time series?
When attempting to model univariate data (although, this could easily be extended to the multivariate case) that is unevenly spaced over time, a natural approach to be able to apply common time series ...
- 451
3
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64
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Does Omitted Variable Bias Matter for Prediction? [duplicate]
In the context of linear models, I can see why omitted variable bias may matter, as often we are interested in causal effects.
In the context of time series models, we are often interested in ...
- 294
2
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339
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Reducing bias when forecasting retail sales with boosting model
I'm forecasting future sales for products in retail stores, using a LightGBM model. My model has a decent forecast accuracy, but the forecasts are biased (the average forecast error is negative, the ...
- 21
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1
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835
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Time Series Model (SARIMA) Consistently Underpredicting
I have a SARIMA model of order (0,1,1)(0,1,1)52 on a log transformed variable (originally non-negative count data, y = log(x+1), '+1' as zero is possible for x).
The series plot along with prediction (...
- 13
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1
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78
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Do more general specifications of Dickey Fuller lead to bias if true model is more parsimonious?
When I was studying econometrics I was taught that whenever in doubt it is always better to run more general specification both in terms of including drift term or trend term and including lags, as ...
- 905
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246
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why is the bias of an AR(1) model converging towards 0 for $n \rightarrow \infty$
could someone please explain to me why the statement at the end is true?
The estimator of $\alpha$ in an AR(1) process is biased, meaning:
$E[\hat{\alpha} ]\neq \alpha$ this is because $E[\hat{\alpha}]...
- 21
3
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1
answer
755
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Test for bias in the residuals of regressions
Most of the answers I found say "look at the residual plots". Which is great!
But I have a large set of curves, and would like to "distinguish" time series curves that fit a model ...
- 51
2
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1
answer
356
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VAR models vs univariate models
Suppose I know the true DGP is a VAR(1) process. Instead of fitting a VAR model, I can still fit univariate ARMA models to each of its components.
Does anyone know whether it will result in biased ...
- 681
2
votes
1
answer
229
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Bayesian inference with simple models and many data points: impact of priors and the number of data points
The setting. Let us assume I would like to perform Bayesian inference for a low-dimensional model on a large dataset, i.e., there are many more data points than there are parameters to identify. Let ...
- 3,118
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222
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Intuition about Bias in LDV / DLM with Fixed or Random Effects
Problem
I am failing to obtain an intuition for why estimates from a time series model that includes a lagged dependent variable as a predictor and random (or fixed) effects for individual units are ...
- 1,350
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959
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Lagged dependent variables, bias and consistency
I am working through Christopher Dougherty's Introduction to Econometrics, and am struggling to fully grasp the consequences of lagged dependent variables in terms of bias and consistency.
The key ...
- 71
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71
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Biasedness of ML estimators for an AR(p) process
Do you know any derivations (or references) which quantify the biasedness of ML estimators of an AR(p) process?
- 681
3
votes
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393
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Does Nickell bias matter in forecasting?
The context is longitudinal data, with $i$ indexing individuals and $t$ indexing time. The goal is predicting $y_{it}$ as a function of lags of $y$ as well as $\mathbf{X}$, which might include lags. ...
- 13.5k
2
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638
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Time-series predictions constant offset from reference values
I am currently trying to solve a regression problem using neural networks. I want to detect movement patterns in images over time (video) and output a continuous value for different medical indices.
...
- 121