autocorrelation

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Related to Serial correlation: multicollinearity

autocorrelation

A measure of how closely a signal in a time series resembles a time-delayed image of itself—periodic signals are highly autocorrelated; random signals are not.
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Table 6: Breusch-Godfrey Serial Correlation LM Test
In conclusion, for a VEC estimation model, considering a dependent variable, LOG_ASSETS and an independent variable, RETURN, residuals are normally distributed, the model does not have an ARCH effect and there is no serial correlation, which is desirable in all 3 cases, so we have a proper regression model.
Testing for serial correlation in linear panel-data models.
Controlling for serial correlation has a fairly large impact on the results.
Serial correlation within the implied price index was high (r > 0.
On the converse, from the beginning it raises issues of cross-sectional dependence, which combine with well-known issues of insurance data like serial correlation (Beenstock, Dickinson, and Khajuria, 1986).
The AR(2) test of no-second order serial correlation and the Hansen statistic of over-identifying restrictions suggest that the instruments are valid and the model is correctly specified.
Table 2 presents the results from Breusch-Godfrey serial correlation LM test, Heteroscedasticity (White method) test, Jarque-Bera normality test and Ramsey's RESET test.
0 (R Core Team 2014) were used to estimate Pooled models, FE models and RE models, and to conduct a series of tests to assess parameter heterogeneity, serial correlation, cross-sectional dependence and heteroskedasticity and to obtain robust estimates.
A forecast horizon of q sampling intervals would lead to (q - 1) order serial correlation in the regression residuals.
To estimate [theta], I choose to match the following moments: the fraction of jumps in position (a change in position of at least 20 points on the ADA scale), the serial correlation of changes in position, the re-election rate of incumbents, the correlation between re-election rates and the distance between a senator and voter's position, the correlation between the ideology of senators and voters, the correlation between the ideology of senators and voters for first term senators, and the standard deviation of positions for first term senators.
Using daily price data from 1957 to 1962, Fama (1965) tested 30 Dow Jones Industrial Average stocks utilizing serial correlation and concluded that the Dow was efficient.
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