1 / 7

Ch14

Ch14. 14.1 The nature of autocorrelation ( 自我相關 ) One of ASS of OLS: and are independent => No autocorrelation => correlation doesn’t exist in disturbances If not, => we have autocorrelation (p.429) (a)~(d) 都有線性相關， (e) 則無線性相關， no autocorrelation

chill
Download Presentation

Ch14

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Ch14 • 14.1 The nature of autocorrelation (自我相關) One of ASS of OLS: and are independent => • No autocorrelation => correlation doesn’t exist in disturbances If not, => we have autocorrelation (p.429) (a)~(d) 都有線性相關，(e)則無線性相關， no autocorrelation => don’t just rely on your eyeballs !

  2. Ch14 MC 不該用線性估計 ＊why does autocorrelation occur ? • Inertia: lag, time memory (sluggishness) ex: GDP、生產…=>呈循環(有time memory) 2. 模型設定錯誤(Model Specification Errors)

  3. Ch14 3. The cobweb Phenomenon (蛛網理論) => 農民都去種白菜=> 白菜excess supply => 農民都不種白菜=> 白菜excess demand 4. 資料處理的錯誤(Data Manipulation) • 14.2 Consequences of autocorrelation(p.431) • 與Heteroscedasticity 一樣: still unbiased => , but min Var( ) no longer hold => is not BLUE anymore => F, t, R², R², C.I are not reliable => test hypothesis conclusion invalid

  4. Ch14 Inconclu-sion Inconclu- sion No autocorrelation + auto. - auto. 0 dL du 2 4-du 4-dL 4 • 14.3 detecting autocorrelation (p.434) Graphical Method ☆ The Durbin-Watson statistic => E-view will compute Note: 1. 0<d<4 2. 愈接近2， 愈無自我相關 3. dL, du 可查表得知 (p.528)

  5. Ch14 Ex:14.1 d=0.2136 (E-view) => 落入”+” autocorrelation => check with p.528, n=45, k為number of independent variable =1 得 dL=1.475, du=1.566, 代入上數線判斷區間: there is positive autocorrelation. • Limitations of D-W statistic (p.346) • 需在有截距項時才可使用 • ，只能檢定一階自我相關 • Lagged dependent variable appear among X1…X4

  6. Ch14 14.4 Remedial measures (p.440): depends on how we assume the dependence of ui • Suppose we have AR(1)

  7. Ch14 OLS on (14.15)=> no autocorrelation • will be BLUE • called generalized Least Squares (GLS), 使用一般化最小平方法，求出 值 14.5 How to estimate (1) : the first difference Method (一階差分法) (if D-W statistic <R² ) Assume 代入(14.14)

More Related