autocorrelation

(redirected from Serial correlation)
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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.
References in periodicals archive ?
Since serial correlation exists, the proposed methodology should be used.
Concerning the validity of the estimation results, the hypothesis of the second-order serial correlation test is not rejected in all columns, although the hypothesis of the Sargan test is rejected in all columns.
Thus, the forecast is said to be excused from the potential effect of unsystematic forecast errors if the forecast errors are free of serial correlation such that E([[eta].
The more serial correlation that is allowed in the transitory income component, the larger the share of inequality at a given point in time that will be attributed to that component (because some of the short-duration persistence in the income data will be attributed to the transitory piece).
The diagnostic tests have also been conducted to test the problem of normality, serial correlation, autoregressive conditional heteroskedasticity, white heteroskedasticity and specification of the ARDL bound testing model.
In summary, although the results regarding the relationship between corporate barter and business cycles appears to be mixed, in models with no serial correlation or normality problems, the coefficients of GDP and capacity utilization support the counter cyclical argument.
We find that because the definition of (calculation of) return depends on information about book value and size from two successive time periods, there is a natural tendency for serial correlation of returns.
Correcting their panel data estimates for serial correlation by clustering substantially increases the standard errors of the estimates, such that few of the estimates are different from zero at conventional significance levels.
The first is the presence of serial correlation in their correlation analysis.
The problem of valuation smoothing can be solved by desmoothing, which is carried out by removing the excess serial correlation arising from the valuation process on the basis of some assumptions about the statistical characteristics of the underlying transaction price process.
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