2. (15%) For a time series model the Durbin-Watson test statistic d y = B +...
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2. (15%) For a time series model the Durbin-Watson test statistic d y = B + Bx + (,-,.,) can be applied to test where there are serial correlations in the regression residual. 1) (5%) Discuss how to use the critical values of de and de to perform the Durbin-Watson test. 2) (5%) Suppose we estimate an AR(1) model , =de,+w, for the regression residuals, discuss the relationship between d and . 3) (5%) Show how you can remove the serial correlation in the time series model if the regression residual follows the above AR(1) model. 2. (15%) For a time series model the Durbin-Watson test statistic d y = B + Bx + (,-,.,) can be applied to test where there are serial correlations in the regression residual. 1) (5%) Discuss how to use the critical values of de and de to perform the Durbin-Watson test. 2) (5%) Suppose we estimate an AR(1) model , =de,+w, for the regression residuals, discuss the relationship between d and . 3) (5%) Show how you can remove the serial correlation in the time series model if the regression residual follows the above AR(1) model.
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1 To perform the DurbinWatson test you compare the calculated DurbinWatson statistic d to the critic... View the full answer
Related Book For
Applied Regression Analysis and Other Multivariable Methods
ISBN: 978-1285051086
5th edition
Authors: David G. Kleinbaum, Lawrence L. Kupper, Azhar Nizam, Eli S. Rosenberg
Posted Date:
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