Evaluating Effects in Short Time Series: Alternative Models of Analysis

Abstract

In the applied context, short time-series designs are suitable to evaluate a treatment effect. These designs present serious problems given autocorrelation among data and the small number of observations involved. This paper describes analytic procedures that have been applied to data from short time series, and an alternative which is a new version of the generalized least squares method to simplify estimation of the error covariance matrix. Using the results of a simulation study and assuming a stationary first-order autoregressive model, it is proposed that the original observations and the design matrix be transformed by means of the square root or Cholesky factor of the inverse of the covariance matrix. This provides a solution to the problem of estimating the parameters of the error covariance matrix. Finally, the results of the simulation study obtained using the proposed generalized least squares method are compared with those obtained by the ordinary least squares approach. The probability of Type I error associated with the proposed method is close to the nominal value for all values of ρ1 and n investigated, especially for positive values of ρ1. The proposed generalized least squares method corrects the effect of autocorrelation on the test's power.