请高人指点回归模型随机扰动项序列的问题 [推广有奖]

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timeahead 发表于 2013-8-4 20:21:36 |AI写论文

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能否介绍下回归模型随机扰动项序列相关的含义，后果以及如何检验？

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关键词：请高人指点回归模型高人指点扰动项序列相关模型

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Chemist_MZ 发表于2楼查看完整内容

Serial correlation will not affect the value of the coefficients, instead what it influences is the standard error namely the t-value or the significance of the coefficient. To test it, the most simple and famous statistic is DW value. The value lies in [0,4], if it is around 2 this indicates no serial correlation. While if it is near 0 or 4, it means there are either positive or negative seria ...

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Chemist_MZ

发表于 2013-8-5 07:54:05

Serial correlation will not affect the value of the coefficients, instead what it influences is the standard error namely the t-value or the significance of the coefficient.

To test it, the most simple and famous statistic is DW value. The value lies in [0,4], if it is around 2 this indicates no serial correlation. While if it is near 0 or 4, it means there are either positive or negative serial correlation.

The drawback of DW test is it can only detect first order serial correlation. Some other method such as the lagrange multiplier can also test this.

best,