Description
Subtract a supplied first-order autoregressive residual term.
Econometric calculations separate supplied residuals, regressors, weights, restrictions, panel groups and reference periods. One score or moment contribution is not a fitted estimator, and one scalar covariance term is not a standard error. Unit rescaling and event-time arithmetic preserve conventions without establishing model identification or causal interpretation.
Subtract a supplied first-order autoregressive residual term.
When to use this tool
Use Serial Correlation Innovation Residual when you already have currentResidual, previousResidual, autoregressiveCoefficient and need to subtract a supplied first-order autoregressive residual term.
How to use the tool and how it works
- Enter currentResidual, previousResidual, autoregressiveCoefficient. Use the units and conventions below.
- Run the tool. Correct any format, range, or cross-field input error before interpreting the output.
- Read innovation. Use the output convention below.
Return currentResidual-autoregressiveCoefficient*previousResidual.1
| Input field | Meaning and units | Accepted input |
|---|---|---|
| currentResidual | Current Residual | Required. Finite number. |
| previousResidual | Previous Residual | Required. Finite number. |
| autoregressiveCoefficient | Autoregressive Coefficient | Required. Finite number. |
| Output field | Interpretation | Returned shape |
|---|---|---|
| innovation | Innovation | Required. Finite number. |
{
"input": {
"currentResidual": 5,
"previousResidual": 4,
"autoregressiveCoefficient": 0.5
},
"output": {
"innovation": 3
}
}Limitations and assumptions
- The coefficient is unrestricted and supplied. No stationarity, serial-correlation model, innovation independence or estimation validity is established.
- Inputs must satisfy both the field types and the cross-field conditions above. Invalid input causes an error; a successful false flag or documented placeholder is a different result.
- Numeric calculations use binary floating point unless exact decimal-integer arithmetic is explicitly stated. No hidden measurement tolerance or decimal rounding is added; nonfinite or out-of-contract results are rejected. Numeric signed-zero results are exported as zero.
Alternative or Complementary methods
Fit and evaluate the full specified model with appropriate data, grouping and uncertainty treatment for inference. Aggregate the required score/moment terms and use the complete covariance calculation; a local residual, cutoff flag or supplied coefficient transformation does not validate the estimator.
References
Similar or alternative tools
- Instrumental Variable First Stage Residual
Subtract a supplied first-stage fit from an observed endogenous value.
- Instrument Exclusion Moment Row
Calculate one supplied instrument-times-structural-residual moment term.