Autocorrelation

A model with no autocorrelation exhibits what

Positive and negative random error terms

DW test d statistic?

D=2(1-p)

How to test for autocorrelation

Durbin Watson test

Looking at general regression equation, what is related

E

Negative autocorrelation?

Error of a given sign tends to be followed by an error of the opposite sign

What is autocorrelation

Error term at time t is correlated with the error at time t - 1

What is positive autocorrelation

Error terms follow sequences of positive and negative error values

How to fix autocorrelation?

Feasible generalized least squares Serial correlation robust standard errors

How can autocorrelation occur

Omit important variable Model is not functionally well specified

Another name for autocorrelation

Serial correlation

Consequences of autocorrelation

Unbiased coefficient estimates Coefficient estimators may not achieve smallest variance T values unreliable