# Tagged Questions

Autocorrelation is the correlation of a series of data with itself at some lag. This is an important topic particularly in the analysis of time-series data.

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### Time-series autocorrelations all positive

I've got 36 months of timeseries data, and eyeballing it, it has a linear trend upward. I wanted to do a little more than just eyeball it though. So I put together a correlogram of autocorrelation ...
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### How to measure the “average” autocorrelation of a time-series signal with itself

I have a short time series signal (say around 30 samples), and I would like to check whether or not it's oscillating. One approach I came up with was to measure the autocorrelation of the signal with ...
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### Is there a serial autocorrelation test for FGLS-FE fitted with pggls function in R?

a simple question here: is there any AR1 and AR2 test for FGLS-FE fitted with the pggls function of plm package in R? (one example would be the Baltagi-Wu LBI test) Thanks for your attention!
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### Reasons for autocorrelation in time-series residuals

Why are residuals usually autocorrelated in time-series data? Could it stem from the autocorrelation of the response variable? Is the reason that in some cases the differencing (i.e., the differences ...
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### Variance of a series of correlated variables

I have started with a time series of 5000 random numbers drawn from uniform distribution with mean 0 and variance of 1. I then construct a Variance-Covariance matrix and use this to induce ...
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### How to tell if residuals are autocorrelated from a graphic

When you do an OLS regression and plot the resulting residuals, how can you tell if the residuals are autocorrelated? I know there are tests for this (Durbin, Breusch-Godfrey) but I was wondering if ...
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### Spatial autocorrelation of non-homogeneous point data in irregularly shaped sample plots

Let's assume we registered the position of all individuals of different plant species within 3 irregularly shaped sample plots that are very close the each other. As an example, I put 2 pictures with ...
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### Help understanding the following picture of ACF

I'm having a bit trouble understanding the blue dotted lines in the following picture of autocorrelation function: Could someone give me a simple explanation, what they are telling me x) Thnx
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### Forecasting model inputs that are both auto-correlated and are calibrated over time?

How does one account for model inputs that are both a) auto-correlated and b) calibrated over time? I'm interested in forecasting the outcomes of sporting events. Let's say that each team has a score ...
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### What's the deal with autocorrelation?

To preface this, I have a pretty deep mathematical background, but I've never really dealt with time series, or statistical modeling. So you don't have to be very gentle with me :) I'm reading this ...
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### Possible outcomes of approximate profile-likelihood estimator (APLE) for spatial autocorrelation

I've been working with spatial autocorrelation for a while and now I'm trying to move from more traditional estimators such as Moran's I or Geary's C to the new APLE estimator. I read Li's papers on ...
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### What is Ljung-Box-Q-test and why do we need it? [duplicate]

Possible Duplicate: Help with the Ljung-Box test for time independence of residuals I'm learning to use Matlab's econometrics toolbox and I came across with this "Ljung-Box-Q-test"... Can ...
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### Algorithm to produce autocorrelated uniformly distributed number

I would like to produce a time-series of autocorrelated probabilities (with a predefined mean level of autocorrelation). I've spotted this and this which I believe should give me what I'm looking ...
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### What to do with very low Durbin-Watson?

For 100 companies, I have collected (i) tweets and (ii) corporate website pageviews for 148 ...