The null hypothesis is that there is no serial correlation of any order up to p. The auto part of autocorrelation is from the Greek word for self, and autocorrelation means data that is correlated with itself, as opposed to being correlated with some other data. What is the test for autocorrelation?Īutocorrelation is diagnosed using a correlogram (ACF plot) and can be tested using the Durbin-Watson test. The value of the test statistic lies between 0 and 4, small values indicate successive residuals are positively correlated. The Durbin-Watson statistic is used to detect the presence of autocorrelation at lag 1 (or higher) in the residuals from a regression. How do you check if residuals are correlated? In statistics, the Durbin–Watson statistic is a test statistic used to detect the presence of autocorrelation at lag 1 in the residuals (prediction errors) from a regression analysis.
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