Questions tagged [autocorrelation]

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.

1,171 questions
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Variance of autocorrelation

At this link I have seen the following formula whereas $$r_k = \frac {\sum_{t=k+1}^n a_t*a_{t-k}} {\sum_{t=1}^n a_t^2}$$ $$Var(r_k) = \frac {n-k}{n*(n+2)}$$ where $r_k$ is the autocorrelation at ...
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Why does first differencing correct autocorrelation?

If we have an autocorrelated variable in the multiple regression model, why does taking first difference help?
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Autocorrelate relative difference between two time series

I would like to verify the similarity of two time series. So far I have resampled and interpolated one time series, so that the two have synchronous time. Next I have computed the relative difference ...
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Weird thing: The larger my lags, the smaller my Ljung Box test p-values

I am doing analysis to a dataset about U.S. Imports of Goods by Customs Basis from China. I deleted the data of the first 5 years, logged the data, and then decomposed it (or ...
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What are the statistical reasons of choosing between a static and dynamic panel data model?

I would like to know more about the relation between serial correlation/autocorrelation and static vs. dynamic panel data models to decide between a static or dynamic model. Currently, I am analyzing ...
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ARIMA Model Ljung-Box Test Derivation

Initially I am aware of the fact that in order to analyse autocorrelations of residuals of ARMA(p,q) we apply Ljung-Box test and involve chi-square distribution (because autocorrelations are ...
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Fixed effects - correcting for autocorrelation and heteroskedasticity, panel data analysis in R

I have a datset of 25 counties over 11 years, with response variable unemployment ( in %), and 6 explanatory variables (proportion with high school, some economic indicators, etc). After some tests ...
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Type 2 error in t-test on time series

I have an AR(1) time series with $1>\phi>0$. If I naively use t-test to check $H_0:\mu=0$ and it does not reject the null, then can I accept the result? I think yes because for a time-series ...
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How to deal with circular causality

Often in time series and panels, the "dependent" and "causal" variable don't share purely that relationship. There is a fair bit of reverse causality as well. ,e.g. x causes y, but then either y ...
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DW critical value for more than 200 sample

does anyone know what is the dU & dL value in DW test for 252 sample? And how to calculate the DW critical value in Ms Excel? In ref., i only found for less than 200 samples. I need your help guys,...