Documente Academic
Documente Profesional
Documente Cultură
Detecting Autocorrelation:
There are two ways of detecting autocorrelation- First is the informal way
which is done through graphs and hence called the graphical method.
The second is through formal tests for autocorrelation, which are as
follows:
1.
2.
3.
4.
1. Run test
A run is defined as uninterrupted sequence of one symbol or attribute,
such as + or - . The length of the run is defined as the number of element
in it.
If, N: total number of observations
N1: number of + symbols (i.e. + residuals)
N2: number of symbols (i.e. residuals)
R: number of runs
2 N N (2 N N N )
2 N1 N 2
R2 1 2 2 1 2
E ( R)
1
( N ) ( N 1)
N
Then,
If the null hypothesis of randomness is sustainable, following the
properties of the normal distribution, we should expect that: Prob [E(R)
1.96 R R E(R) 1.96 R]. Hypothesis: do not reject the null hypothesis
of randomness with 95% confidence if R, the number of runs, lies in the
preceding confidence interval; reject otherwise.
2. Durbin and Watson Test
t n
(u
t 2
ut 1 ) 2
t n
u
t 1
2
t
1.
2.
3.
h 1
2 1 n 2