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  • Twinkle Chhabra Methods of Detecting Autocorrelation

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    1) Three common methods for detecting autocorrelation are the graphical method, runs test, and Dickey-Fuller test. 2) The graphical method plots residuals against time - autocorrelation is present if the plot exhibits patterns, runs test examines the number of runs in a time series, and Dickey-Fuller test checks if a time series is non-stationary. 3) Augmented Dickey-Fuller test is an extension of the Dickey-Fuller test that can be used for more complex time series models. It tests for a unit root while allowing for additional lagged difference terms.

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    1) Three common methods for detecting autocorrelation are the graphical method, runs test, and Dickey-Fuller test. 2) The graphical method plots residuals against time - autocorrelation is present if the plot exhibits patterns, runs test examines the number of runs in a time series, and Dickey-Fuller test checks if a time series is non-stationary. 3) Augmented Dickey-Fuller test is an extension of the Dickey-Fuller test that can be used for more complex time series models. It tests for a unit root while allowing for additional lagged difference terms.

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    3 views4 pages

    Twinkle Chhabra Methods of Detecting Autocorrelation

    Uploaded by

    Twinkle Chhabra
    1) Three common methods for detecting autocorrelation are the graphical method, runs test, and Dickey-Fuller test. 2) The graphical method plots residuals against time - autocorrelation is present if the plot exhibits patterns, runs test examines the number of runs in a time series, and Dickey-Fuller test checks if a time series is non-stationary. 3) Augmented Dickey-Fuller test is an extension of the Dickey-Fuller test that can be used for more complex time series models. It tests for a unit root while allowing for additional lagged difference terms.

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    of 4

    Tuunklu Chhab

    #nhellmtN. ASOD3022003
    Dats

    Page

    Asignment
    Methods Detecting Autocoelation
    Autocoelation:
    smd Hat the wwsn den doean' t dpnd upon its past nl
    4thi aumptlon is not tultiled n autocoetation is said
    to àe puant npune aulocetelati on although t utimai
    Hmaun wnbiad and lina bul wl not hauemini mum vauanu

    Detecion 4 Autocoebtion
    Thuu au cual methods fo the dectien autoce lation
    amony hich counony ad methods au:
    áraphical Method
    3Duebìn haden Teat
    4Dicky fullee Tet.

    Graphical Method
    Ja his muthod H Heidualu au alstd againt Hu time. This plot
    in alld aa Time gsnce Rlet ytimu igunu plot dosn't whibit
    ypabn then atocslaton ia caid to he asbant
    y it whibit ceme patle then autoceelation in caid to sepent

    Tim
    -Tim

    Run Tet,

    method uat the Hugtaien Model is tiAd waing OLS muthdh and
    H Heaidual au thtalnd. The Huduala a
    aunged acding
    te tim.
    e ceunt
    The no f RunslR) fomud by t b- signs moptity

    th teat can bL

    ElR)=N,N +1,v[R) 2N, N, (2N N, -Ny -N


    N+N (N,tN, (N,+N,-N)
    Gate

    Faga

    Dickeyhller Test
    Diuy fulen Teut is a utaliatiad ud tht io uaud to heck tou
    which w ind i thu tme Hs in hany any wit Host
    Unit oot i a teatwu tim eues hat indi cat y e in any
    stochate end in the me eues Hhat eleives it awy pom
    Mean value. Puunu nit Hoot makuo a tme uies non
    Aatienay and as a Huut it leado to difieuttea in deiing
    tatiatia igunea yem
    dey mocel and
    Ditky Pullee teat Qaasms a AR) typ time
    t in iupeentd mathmalicaly as

    we cubitact yt+ m

    wheu
    tntat

    yt : Value in th ttme cees at lay o I

    Tu tuut datictic omule

    Se(8)
    Data

    Augmonted Dilkuy fule Teti t is an nieno si ckuy fullu iat


    tor ma Lomplin modala than Apl1). The pimy ditunu stwun
    thi too tust in that he ADEis utllzed youe dag uZeul t o
    tme ies modls which cn hL M L Cbmpicau
    dt auMs a ARp Jtype timu is model and it in tupLnt
    mathumaially oa

    ADE àHhe san Aquaton as the Df nith tha snydittunu sng he


    addi ti on a difeuningtomo upntig a ag time
    Tu teat itattctic toimua in!
    t£
    se(B)
    Asumpti bno: Nul typothsais Thue eiit a unit Hoot in time
    Atna typotheai i No unit Hott inist in the timu eniesad

    Conditon tb ueject to and tH


    Aos hana pe upeiied signiti cane dewd.hoos, hun the Nel Hypothu
    The tet tatictcs ngustu than the cuticad saee te Nultypstu
    Con't b1 uyected and thetme eo ia csna o d non ctatibna

    The ctiical vau is ;ound on t Dickuy tulleA table luimia

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