KInh tế ứng dụng_ Lecture 9: Autocorrelation

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KInh tế ứng dụng_ Lecture 9: Autocorrelation

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Autocorrelation (also called serial correlation) is violation of the assumption that the error terms are not correlated, i.e., with autocorrelation E(∈i, ∈j) ≠ 0 (∈i ≠ ∈j). That is, the error in the period t is not independent of previous errors. Since we do not know the population line, we do not know the actual errors (∈s), but we estimate them by the residuals (e). Hence a look at the residual plot for a regression that (i) has no autocorrelation; (ii) has positive autocorrelation, and, (iii) has negative autocorrelation. The positive autocorrelation is the common problem in economics. ...

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