May 17, 2023 · I am familiar with computing the autocorrelation function of a time series as a function of time lag, but I am not sure what it means for a time series to itself be autocorrelated.

So why is autocorrelation a bad (or good) thing? 2.) The solution I've heard for dealing with autocorrelation is to diff the time series. Without trying to read the author's mind, why would one not …

Sep 3, 2017 · I want to examine the residuals of a VAR and apply the LM test for serial correlation (autocorrelation) like in (this) blog post by Dave Giles. In my test, I first examine the optimum lag …

Nov 11, 2015 · very easy to follow and helpful for a first timer like me to test for autocorrelation. I have found autocorrelation occuring in some of my linear regression models, but I haven't got such a …

Oct 9, 2024 · I have generated a correlogram of the residuals on STATA to get an idea of the autocorrelation structure, which is shown in the image. But I really do not know how to apply newey …

When reading a VAR model tutorial I was confused by the below excerpt on the Portmanteau test for autocorrelation. My questions are: 1) How does one interpret the results of the below demonstrati...

Aug 19, 2015 · What is the relationship between autocorrelation and non-stationary? Is it true that non-zero autocorrelation $\\implies$ non-stationary, but not vice versa?

Nov 21, 2013 · Can somebody explain autocorrelation function in a time series data? Applying acf to the data, what would be the application?

May 17, 2019 · The Durbin-Watson test tests for autocorrelation. However due to the particular nature of autocorrelation (positive and negative autocorrelation) there is a special test statistic: The Durbin …

May 10, 2017 · Answers to your specific questions: Here are my answers to your specific questions about this estimation problem: 1) It is common for analysts to use these standard estimators by …