This article introduces a data-driven Box-Pierce test for serial correlation. The proposed test is very attractive compared to the existing ones. In particular, implementation of this test is extremely simple for two reasons: first, the researcher does not need to specify the order of the ...
correlation n. 1.[C]相互关系,关联(+between) 2.[U]相关性 serial parallel serial 【计】 串-并-串行 test n.[C] 1.试验 2.化验;化验法;化验剂 3.检验;检验标准 4.测验;考察;小考 5.考验 v.[T] 1.试验;检验;测验(+for/in/on) 2.化验;分析(+for serial contactor 串动接触器 serial...
The Durbin-Watson Test for Serial Correlation: Bounds for Regressions with Trend and/or Seasonal Dummy Variables. King, M.L., 1983, The Durbin-Watson test for serial correlation: Bounds for regressions using monthly data, Journal of Econometrics 21, 357-366.King ... ML King - 《Econometrica...
bgtest computes the Breusch (1978)-Godfrey (1978) Lagrange multiplier test for nonindependence in the error distribution. For a specified number of lags p, the test's null of independent errors has alternatives of either AR(p) or MA(p). The test statistic, a T R^2 measure, is distribut...
S. Watson. "Testing for Serial Correlation in Least Squares Regression I." Biometrika 37, pp. 409–428, 1950. [2] Farebrother, R. W. Pan's "Procedure for the Tail Probabilities of the Durbin-Watson Statistic." Applied Statistics 29, pp. 224–227, 1980. ...
网络序列相关检定;序列相关检验;序列相关测试 网络释义
DW是在多元回归模型里用来检测serial correlation的,所以在AR模型里是不能用的。 但是Q22这道题,无论是linear trend还是log-linear model,本质都是多元回归模型,只是数据是时间序列数据而已。所以这个时候检测serial correlation用的还是DW。 添加评论 0 0 1...
add diagnostic tests for panel data - LM test for serail correlation, heteroscedasticity, cross-sectional correlation and similar. I ran into breusch-pagan test for panel data. The tests have a similar structure as the ones for OLS, but go in more directions and have to watch out for inciden...
Durbin-Watson tests for serial correlation in regressions with missing observations The first test may be viewed as a regular Durbin-Watson test in the context of an extended model. We discuss appropriate adjustments that allow one to... JM Dufour,MG Dagenais - 《Journal of Econometrics》 被引...
The Augmented Dickey-Fuller test can be used to test for a unit root in a univariate process in the presence of serial correlation. The null hypothesis of the Augmented Dickey-Fuller is that there is a unit root, with the alternative that there is no unit root. If the pvalue is above ...