correcting with generalized least squares, 477-484 definition, 442-443 detection of in autoregressive models,

579-581 Breusch-Godfrey test, 471,

472-474 Durbin-Watson d test, 467-472 graphical method, 462-465 runs/Geary test, 465-467 von Neumann ratio test, 491-492 dummy variables in, 322,

487-488 GARCH model, 488 lack of, between disturbances, 70-71

nature of problem, 442-449

Newey-West method of correcting OLS errors, 484-485 pure, 475

reasons for tests of, 474-475 remedial measures for, 475 spatial, 441

wages-productivity example, 460-462 Autocorrelation coefficient, statistical significance of, 812-813 Autocorrelation error terms, forecasting with, 485-487 Autocorrelation function, 808-812, 841-845

Autoregression, 447; see also Vector autoregression Autoregression and moving average process, 839, 844 Autoregression models, 468, 534-535, 562 definition, 656 detecting autocorrelation,

579-581 estimation of, 676-678 Autoregressive conditional heteroscedasticity, 488, 835, 856-862

Autoregressive integrated moving average models, 837, 839-840, 844-845 estimating, 845-846 Autoregressive modeling, 838-839 Autoregressive moving average, 835 Autovariance, coefficient of, 450 Auxiliary regressions, 361

Was this article helpful?

0 0
Rules Of The Rich And Wealthy

Rules Of The Rich And Wealthy

Learning About The Rules Of The Rich And Wealthy Can Have Amazing Benefits For Your Life And Success. Discover the hidden rules and beat the rich at their own game. The general population has a love / hate kinship with riches. They resent those who have it, but spend their total lives attempting to get it for themselves. The reason an immense majority of individuals never accumulate a substantial savings is because they don't comprehend the nature of money or how it works.

Get My Free Ebook

Post a comment