Unformatted text preview: like serial correlation is present? (d) Calculate the estimate of the ﬁrst serial correlation coeﬃcient, r 1 . (e) Perform the large-sample test for serial correlation, described in Section 15.4.1. What evidence to we have that a serial correlation exists (i.e., test H : α = 0 vs. H a : α 6 = 0)? (f) Conduct the nonparametric runs test to see if serial correlation is present. Do your conclusions agree with those from part (e)? (g) Finally, calculate the standard error of the average in our serially correlated time series, using the adjustment described in Section 15.2.2. How does it diﬀer from the unadjusted standard error?...
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This note was uploaded on 01/22/2012 for the course STAT 3022 taught by Professor Staff during the Fall '08 term at Minnesota.
- Fall '08