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I am new to multi-level modeling. I have a data wherein the observations are individuals-month. My dependent and independent variables are measured monthly. In terms of nesting structure, I assume that observation are nested within the same individuals and within years. I expect that the value for my dv (t) would be correlated with the value of my dv (t-1) and so I add lagged values of my dv in the model. I am experience autocorrelation issues. I already the lagged values of my DV and the coefficients are still significant. Is there a way where I can have something similar to vcovHAC for an lmer object? Here is how I specified my model:

m1 <- lmer(y ~ x + y.lag.1 + y.lag.2 + (1|id/year), data = data.set). 

I already included lagged values of my dependent variables, and still get autocorrelation issues.

本文标签: lme4Equivalent of vcovHAC for lmer objectsStack Overflow