ch12 Time Series Data 《计量经济学导论》课件.pptVIP

Economics 20 - Prof. Anderson Testing for AR(1) Serial Correlation Want to be able to test for whether the errors are serially correlated or not Want to test the null that r = 0 in ut = rut-1 + et, t =2,…, n, where ut is the model error term and et is iid With strictly exogenous regressors, the test is very straightforward – simply regress the residuals on lagged residuals and use a t-test Testing for AR(1) Serial Correlation (continued) An alternative is the Durbin-Watson (DW) statistic, which is calculated by many packages If the DW statistic is around 2, then we can reject serial correlation, while if it is significantly 2 we cannot reject Critical values are difficult to calculate, making the t test easier to work with Testing for AR(1) Serial Correlation (continued) If the regressors are not strictly exogenous, then neither the t or DW test will work Regress the residual (or y) on the lagged residual and all of the x’s The inclusion of the x’s allows each xtj to be correlated with ut-1, so don’t need assumption of strict exogeneity Testing for Higher Order S.C. Can test for AR(q) serial correlation in the same basic manner as AR(1) Just include q lags of the residuals in the regression and test for joint significance Can use F test or LM test, where the LM version is called a Breusch-Godfrey test and is (n-q)R2 using R2 from residual regression Can also test for seasonal forms Correcting for Serial Correlation Start with case of strictly exogenous regressors, and maintain all G-M assumptions except no serial correlation Assume errors follow AR(1) so ut = rut-1 + et, t =2,…, n Var(ut) = s2e/(1-r2) We need to try and transform the equation so we have no serial correlation in the errors Correcting for S.C. (continued) Consider that since yt = b0 + b1xt + ut , then yt-1 = b0 + b1xt-1 + ut-1 If you multiply the second equation by r, and subtract if from the first you get yt – r yt-1 = (1 – r)b0 + b1(xt – r xt-1) + et , since et = ut – r ut-1