This preview shows pages 1–5. Sign up to view the full content.
This preview has intentionally blurred sections. Sign up to view the full version.
View Full DocumentThis preview has intentionally blurred sections. Sign up to view the full version.
View Full Document
Unformatted text preview: Lecture 15 : Serial Correlation Econ 444, Winter 2010 Mar 8, 2010 Testing for Negative Serial Correlation using DW test H : = no serial correlation H A : < negative serialcorrelation (1) To test for negative serial correlation we take the following steps: 1 Estimate the model by OLS and obtain the DW statistic. 2 Given the sample size (N) and the number of explanatory variables (k) , find the upper (dU) and lower (dL) critical values of the d statistic for a specified level of significance from the table of the d statistic ( Table B4 and B6). 3 Use the following decision rule : If d > 4 dL Reject Null = negative serial correlation. If d < 4 dU Do not reject Null = no negative serial correlation. If 4 dU d 4 dL then DW test is inconclusive. Example for DW test of negative serial correlation Suppose you have data on 25 years with 4 independent variables. Suppose that the DW test statistic is d = 3 . 3. Conduct a onesided negative serial correlation test at 5% level of siginificance. Remedies for Serial Correlation...
View
Full
Document
This note was uploaded on 04/13/2010 for the course ECON 444 taught by Professor Ogaki during the Winter '07 term at Ohio State.
 Winter '07
 OGAKI
 Econometrics

Click to edit the document details