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Econometrics 1

Econometrics 1. Lecture 9 Autocorrelation. Autocorrelation: Causes and Consequences. Review of Assumptions of the OLS Model. Nature of autocorrelation. Variance of the error term. Consequence of Autocorrelation.

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Econometrics 1

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  1. Econometrics 1 Lecture 9 Autocorrelation

  2. Autocorrelation: Causes and Consequences

  3. Review of Assumptions of the OLS Model

  4. Nature of autocorrelation

  5. Variance of the error term

  6. Consequence of Autocorrelation

  7. Variance and Covariance of Errors in Case of Autocorrelation Compared to the Variance of a Normal Error Term

  8. Variance and Covariance of Errors in Case of Autocorrelation Compared to the Variance of a Normal Error Term

  9. Detection: graphical method

  10. Detection of Autocorrelation: Graphical Method

  11. Durbin-Watson test

  12. Partial Autocorrelation Function and Order of Autocorrelation

  13. Autocorrelation Corrected Errors

  14. Bruce-Godfrey higher order autocorrelation test

  15. Berenblutt-Webb test

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