ppt课件-autocorrelationinregressionanalysis.pptVIP

Autocorrelation in Regression Analysis What is Autocorrelation? Where do we find Autocorrelation? Autocorrelation is most often a problem in time series or geographic data It reflects changes in data that are a function of proximity in time or space Examples Energy market price shocks Transitions depend on prior states Economic consequences of LULUs Distance from hazard influences magnitude of price effect Two types of Autocorrelation Positive autocorrelation This is what we normally find. If the autocorrelation is positive, then we expect the sign of the residual at t to be the same as at t-1. Negative Autocorrelation We find that the sign of the residual at t is the opposite of that at t-1 Example: a drunken amble What causes autocorrelation? Misspecification Data Manipulation Before receipt After receipt Event Inertia Spatial ordering Checking for Autocorrelation Test: Durbin-Watson statistic: Consider the following regression: Find the D-upper and D-lower Check a Durbin Watson table for the numbers for d-upper and d-lower. In Hamilton that’s on pp. 355-356 For n=20 and k=2, α = .05 the values are: Lower = 1.20 Upper = 1.41 Because our value falls between zero and d-lower we have positive autocorrelation The Runs Test An alternative to the D-W test is a formalized examination of the signs of the residuals. We would expect that the signs of the residuals will be random in the absence of autocorrelation. The first step is to estimate the model and predict the residuals. Next, order the signs of the residuals against time (or spatial ordering in the case of cross-sectional data) and see if there are excessive “runs” of positives or negatives. Alternatively, you can graph the residuals and look for the same trends. Runs test continued More on The D-W D-W is not appropriate for auto-regressive (AR) models, where: In this case, we use the Durbin alternative test For AR models, need to explicitly estimate the correlation between Yi and Yi-1 as a model parame