Lecture 9 Autocorrelation

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Presentation transcript:

Lecture 9 Autocorrelation Econometrics 1 Lecture 9 Autocorrelation

Autocorrelation: Causes and Consequences

Review of Assumptions of the OLS Model

Nature of autocorrelation

Variance of the error term

Consequence of Autocorrelation

Variance and Covariance of Errors in Case of Autocorrelation Compared to the Variance of a Normal Error Term

Variance and Covariance of Errors in Case of Autocorrelation Compared to the Variance of a Normal Error Term

Detection: graphical method

Detection of Autocorrelation: Graphical Method

Durbin-Watson test

Partial Autocorrelation Function and Order of Autocorrelation

Autocorrelation Corrected Errors

Bruce-Godfrey higher order autocorrelation test

Berenblutt-Webb test