l26 - Serial Correlation (Very Brief Overview) [NOTE: These...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
Serial Correlation (Very Brief Overview) —Page 1 Serial Correlation (Very Brief Overview) [NOTE: These notes draw very, very heavily from Pindyck and Rubinfeld.] Introduction. I’ve never had much reason to worry about serial correlation in my work. But, if you are working with data that are collected repeatedly across time (something which I suspect is much more common in Economics than in Sociology) this may be a concern for you; or, you may read other work in which serial correlation is an issue. I’ll therefore briefly discuss the problem, and you can turn to Pindyck and Rubinfeld or other sources if you need to know more. What Serial Correlation is. When error terms from different (usually adjacent) time periods (or cross-section observations) are correlated, we say that the error term is serially correlated . Serial correlation occurs in time-series studies when the errors associated with a given time period carry over into future time periods. For example, if we are prediciting the growth of stock dividends, an overestimate in one year is likely to lead to overestimates in succeeding years. There are different types of serial correlation. With
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Image of page 2
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 02/29/2012 for the course SOC 63993 taught by Professor Richardwilliams during the Spring '11 term at Notre Dame.

Page1 / 2

l26 - Serial Correlation (Very Brief Overview) [NOTE: These...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online