复旦管理学院考博资料——计量经济学lecture .pptxVIP

会计学 1 复旦管理学院考博资料——计量经济学Lecture 2 Serially Correlated Disturbances For time series regression model 第1页/共44页 3 Sources of Serial Correlation Inertia in most economic time series: GDP, Price indexes, etc Specification bias Omitted variables Incorrect functional forms Lagged dependent variables Data transformation: Quarterly data, first differencing, etc Nonstationarity: Mean, variance, and covariance of a time series do not change over time 第2页/共44页 4 The Lag Operator LYt = Yt-1, L2Yt = L(LYt) = Yt-2 Lq Yt = Yt-q , L0 = I, L0Yt = Yt The lag operator can be treated as a scalar Polynomials 第3页/共44页 5 First-order Autocorrelation: AR(1) Specification To ensure that AR(1) is a stationary stochastic process, Properties 第4页/共44页 6 First-order Autocorrelation: AR(1) AR(1) suggests that ut has a long memory, but when s, the time interval, goes to infinity, the autocorrelation coefficient converges to zero. Var-Cov matrix AR (p) 第5页/共44页 7 First-order Moving Average: MA(1) Specification Properties 第6页/共44页 8 First-order Moving Average: MA(1) MA(1) suggests that ut has a rather short memory: The errors are only interrelated in two successive periods Var-Cov matrix MA (q) 第7页/共44页 9 Relations between AR and MA AR (1) and MA (∞) MA(1) and AR (∞) 第8页/共44页 10 Consequences of Autocorrelation The OLS estimators are still linear, unbiased, consistent, and asymptotically normal However, they are no longer efficient Normally underestimating the error variance Underestimating and inflating t-statistics The problems are not resolved by using large sample sizes 第9页/共44页 11 Detecting Autocorrelation Informal/Graphical Methods Durbin-Watson Test Assumptions: The disturbances are generated by AR(1) process and are normally distributed. Also, the regression model does not include the lagged values of the dependent variable as one of the explanatory variables H0: Test statistic 第10页/共44页 12 Detecting Autocorrelation Durbin-Watson Test The exact probability distribution of D