baisc question about fit of GLS in R

Question

Wondered if anyone could help.
I've fit the below model in R using GLS from the nlme package.
m2_p1q2 <- gls(log(ratio) ~ level + levellag + 
        trend + time, 
      method = "ML", correlation = corARMA(p = 1, q = 2, form = ~ time), 
      data = a1)

The plotted regression shows a curve and I wondered whether this might be viewed as a problem with fit?

Any advice appreciated....

kurtosis · Answer

Your data seem to exhibit heteroskedasticity (non-constant variance) and your model does not account for this through either explicitly modeling the variance or weighting of observations. That is a problem. I would consult your favorite statistics book on weighted least squares and variance-stabilizing transformations.

Answered by kurtosis on December 15, 2021

baisc question about fit of GLS in R

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