You are here
Modeling Autocorrelation and Sample Weights in Panel Data: A Monte Carlo Simulation Study
 Date Issued:
 2015
 Abstract/Description:
 This dissertation investigates the interactive or joint influence of autocorrelative processes (autoregressiveAR, moving averageMA, and autoregressive moving averageARMA) and sample weights present in a longitudinal panel data set. Specifically, to what extent are the sample estimates influenced when autocorrelation (which is usually present in a panel data having correlated observations and errors) and sample weights (complex sample design feature used in longitudinal data having multistage sampling design) are modeled versus when they are not modeled or either one of them is taken into account. The current study utilized a Monte Carlo simulation design to vary the type and magnitude of autocorrelative processes and sample weights as factors incorporated in growth or latent curve models to evaluate the effect on sample latent curve estimates (mean intercept, mean slope, intercept variance, slope variance, and intercept slope correlation). Various latent curve models with weights or without weights were specified with an autocorrelative process and then fitted to data sets having either the AR, MA or ARMA process. The relevance and practical importance of the simulation results were ascertained by testing the joint influence of autocorrelation and weights on the Early Childhood Longitudinal Study for Kindergartens (ECLSK) data set which is a panel data set having complex sample design features. The results indicate that autocorrelative processes and weights interact with each other as sources of error to a statistically significant degree. Accounting for just the autocorrelative process without weights or utilizing weights while ignoring the autocorrelative process may lead to bias in the sample estimates particularly in largescale datasets in which these two sources of error are inherently embedded. The mean intercept and mean slope of latent curve models without weights was consistently underestimated when fitted to data sets having AR, MA or ARMA process. On the other hand, the intercept variance, intercept slope, and intercept slope correlation were overestimated for latent curve models with weights. However, these three estimates were not accurate as the standard errors associated with them were high. In addition, fit indices, AR and MA estimates, parsimony of the model, behavior of sample latent curve estimates, and interaction effects between autocorrelative processes and sample weights should be assessed for all the models before a particular model is deemed as most appropriate. If the AR estimate is high and MA estimate is low for a LCAR model than the other models that are fitted to a data set having sample weights and the fit indices are in the acceptable cutoff range, then the data set has a higher likelihood of having an AR process between the observations. If the MA estimate is high and AR estimate is low for a LCMA model than the other models that are fitted to a data set having sample weights and the fit indices are in the acceptable cutoff range, then the data set has a higher likelihood of having an MA process between the observations. If both AR and MA estimates are high for a LCARMA model than the other models that are fitted to a data set having sample weights and the fit indices are in the acceptable cutoff range, then the data set has a higher likelihood of having an ARMA process between the observations. The results from the current study recommends that biases from both autocorrelation and sample weights needs to be simultaneously modeled to obtain accurate estimates. The type of autocorrelation (AR, MA or ARMA), magnitude of autocorrelation, and sample weights influences the behavior of estimates and all the three facets should be carefully considered to correctly interpret the estimates especially in the context of measuring growth or change in the variable(s) of interest over time in largescale longitudinal panel data sets.
Title:  Modeling Autocorrelation and Sample Weights in Panel Data: A Monte Carlo Simulation Study. 
32 views
11 downloads 

Name(s): 
Acharya, Parul, Author Sivo, Stephen, Committee Chair HahsVaughn, Debbie, Committee CoChair Witta, Eleanor, Committee Member Butler, Malcolm, Committee Member University of Central Florida, Degree Grantor 

Type of Resource:  text  
Date Issued:  2015  
Publisher:  University of Central Florida  
Language(s):  English  
Abstract/Description:  This dissertation investigates the interactive or joint influence of autocorrelative processes (autoregressiveAR, moving averageMA, and autoregressive moving averageARMA) and sample weights present in a longitudinal panel data set. Specifically, to what extent are the sample estimates influenced when autocorrelation (which is usually present in a panel data having correlated observations and errors) and sample weights (complex sample design feature used in longitudinal data having multistage sampling design) are modeled versus when they are not modeled or either one of them is taken into account. The current study utilized a Monte Carlo simulation design to vary the type and magnitude of autocorrelative processes and sample weights as factors incorporated in growth or latent curve models to evaluate the effect on sample latent curve estimates (mean intercept, mean slope, intercept variance, slope variance, and intercept slope correlation). Various latent curve models with weights or without weights were specified with an autocorrelative process and then fitted to data sets having either the AR, MA or ARMA process. The relevance and practical importance of the simulation results were ascertained by testing the joint influence of autocorrelation and weights on the Early Childhood Longitudinal Study for Kindergartens (ECLSK) data set which is a panel data set having complex sample design features. The results indicate that autocorrelative processes and weights interact with each other as sources of error to a statistically significant degree. Accounting for just the autocorrelative process without weights or utilizing weights while ignoring the autocorrelative process may lead to bias in the sample estimates particularly in largescale datasets in which these two sources of error are inherently embedded. The mean intercept and mean slope of latent curve models without weights was consistently underestimated when fitted to data sets having AR, MA or ARMA process. On the other hand, the intercept variance, intercept slope, and intercept slope correlation were overestimated for latent curve models with weights. However, these three estimates were not accurate as the standard errors associated with them were high. In addition, fit indices, AR and MA estimates, parsimony of the model, behavior of sample latent curve estimates, and interaction effects between autocorrelative processes and sample weights should be assessed for all the models before a particular model is deemed as most appropriate. If the AR estimate is high and MA estimate is low for a LCAR model than the other models that are fitted to a data set having sample weights and the fit indices are in the acceptable cutoff range, then the data set has a higher likelihood of having an AR process between the observations. If the MA estimate is high and AR estimate is low for a LCMA model than the other models that are fitted to a data set having sample weights and the fit indices are in the acceptable cutoff range, then the data set has a higher likelihood of having an MA process between the observations. If both AR and MA estimates are high for a LCARMA model than the other models that are fitted to a data set having sample weights and the fit indices are in the acceptable cutoff range, then the data set has a higher likelihood of having an ARMA process between the observations. The results from the current study recommends that biases from both autocorrelation and sample weights needs to be simultaneously modeled to obtain accurate estimates. The type of autocorrelation (AR, MA or ARMA), magnitude of autocorrelation, and sample weights influences the behavior of estimates and all the three facets should be carefully considered to correctly interpret the estimates especially in the context of measuring growth or change in the variable(s) of interest over time in largescale longitudinal panel data sets.  
Identifier:  CFE0005914 (IID), ucf:50850 (fedora)  
Note(s): 
20151201 Ph.D. Education and Human Performance, Dean's Office EDUC Doctoral This record was generated from author submitted information. 

Subject(s):  Autocorrelation  Sample Weights  Autoregressive  Moving Average  Latent Curve Model  
Persistent Link to This Record:  http://purl.flvc.org/ucf/fd/CFE0005914  
Restrictions on Access:  campus 20201215  
Host Institution:  UCF 