I am identifying autocorrelation in two time series (both are stationary at I(0) from the ADF test) and from what I have understood so far, from difference web resources, that for a series to have no auto-correlation, AC and PAC values should be closer to zero and the p-values should be larger than 0.05. I have also checked the Durbin-Watson statistic for these two series and it is 2.00 for both, which indicates: no auto-correlation. However, I am conflicted about the outcome of the correlogram analysis.
In the first time series, AC and PAC are closer to zero and the p-values are larger than 0.05, which meets my understanding and accordingly, I conclude that there is no auto-correlation in this series.
Sample: 7/01/2006 7/12/2016
Included observations: 3665
Autocorrelation Partial Correlation AC PAC Q-Stat Prob
| | | | 1 -0.010 -0.010 0.3496 0.554
| | | | 2 0.017 0.017 1.3769 0.502
| | | | 3 -0.043 -0.042 8.0150 0.046
| | | | 4 -0.033 -0.034 11.961 0.018
| | | | 5 -0.024 -0.024 14.149 0.015
| | | | 6 -0.003 -0.005 14.192 0.028
| | | | 7 0.003 0.000 14.215 0.047
| | | | 8 -0.013 -0.017 14.881 0.062
| | | | 9 -0.015 -0.017 15.711 0.073
| | | | 10 -0.006 -0.007 15.844 0.104
| | | | 11 0.020 0.019 17.320 0.099
| | | | 12 -0.015 -0.017 18.191 0.110
| | | | 13 0.008 0.005 18.428 0.142
| | | | 14 0.024 0.025 20.538 0.114
| | | | 15 -0.013 -0.013 21.164 0.132
| | | | 16 -0.000 -0.001 21.165 0.172
| | | | 17 -0.006 -0.004 21.294 0.213
| | | | 18 -0.036 -0.036 26.043 0.099
| | | | 19 -0.006 -0.006 26.159 0.126
| | | | 20 0.006 0.006 26.280 0.157
| | | | 21 -0.017 -0.021 27.327 0.160
| | | | 22 0.008 0.005 27.571 0.190
| | | | 23 0.017 0.018 28.670 0.192
| | | | 24 -0.033 -0.035 32.647 0.112
| | | | 25 0.010 0.007 32.985 0.131
| | | | 26 -0.001 0.002 32.987 0.162
| | | | 27 0.010 0.006 33.377 0.185
| | | | 28 0.004 0.003 33.449 0.220
| | | | 29 0.016 0.016 34.355 0.227
| | | | 30 -0.027 -0.028 37.004 0.177
| | | | 31 -0.015 -0.014 37.796 0.187
| | | | 32 -0.003 0.002 37.834 0.220
| | | | 33 0.022 0.019 39.549 0.201
| | | | 34 -0.007 -0.010 39.746 0.229
| | | | 35 0.005 0.005 39.830 0.264
| | | | 36 -0.002 -0.004 39.840 0.303
In the second series, AC is larger than zero for upto 2 lags and PAC is larger than zero upto lag 1, whereas the p-values are less than 0.05.Does this mean that this series has auto-correlation?
Sample: 7/01/2006 7/12/2016
Included observations: 3665
Autocorrelation Partial Correlation AC PAC Q-Stat Prob
|*** | |*** | 1 0.403 0.403 596.44 0.000
|* | | | 2 0.121 -0.050 649.76 0.000
| | | | 3 0.070 0.047 667.64 0.000
| | | | 4 0.071 0.038 686.34 0.000
| | | | 5 0.043 -0.002 693.06 0.000
| | | | 6 0.006 -0.015 693.22 0.000
| | | | 7 0.008 0.010 693.43 0.000
| | | | 8 -0.005 -0.017 693.52 0.000
| | | | 9 -0.014 -0.009 694.20 0.000
| | | | 10 -0.005 0.006 694.29 0.000
| | | | 11 -0.001 -0.001 694.29 0.000
| | | | 12 -0.013 -0.014 694.96 0.000
| | | | 13 0.010 0.027 695.36 0.000
| | | | 14 0.012 -0.001 695.92 0.000
| | | | 15 -0.034 -0.048 700.21 0.000
| | | | 16 -0.035 -0.003 704.76 0.000
| | | | 17 -0.023 -0.008 706.74 0.000
| | | | 18 0.010 0.026 707.11 0.000
| | | | 19 0.028 0.023 710.03 0.000
| | | | 20 0.047 0.035 718.13 0.000
| | | | 21 0.024 -0.011 720.32 0.000
| | | | 22 0.011 0.003 720.78 0.000
| | | | 23 0.017 0.009 721.83 0.000
| | | | 24 0.008 -0.011 722.04 0.000
| | | | 25 -0.008 -0.012 722.27 0.000
| | | | 26 0.040 0.059 728.26 0.000
| | | | 27 0.055 0.019 739.51 0.000
| | | | 28 0.033 0.002 743.48 0.000
| | | | 29 0.004 -0.010 743.54 0.000
| | | | 30 0.004 0.002 743.61 0.000
| | | | 31 0.017 0.009 744.70 0.000
| | | | 32 0.022 0.011 746.45 0.000
| | | | 33 0.033 0.023 750.59 0.000
| | | | 34 0.062 0.048 764.82 0.000
| | | | 35 0.031 -0.010 768.36 0.000
| | | | 36 0.034 0.029 772.53 0.000
Can I please get some help in the interpretation of the two series?
