In estimating a regression based on monthly observations from January 1987 to December 2002 inclusive, you find
Question:
A. Based on the value of the Durbin-Watson statistic, what can you say about the serial correlation between the regression residuals? Are they positively correlated, negatively correlated, or not correlated at all?
B. Compute the sample correlation between the regression residuals from one period and those from the previous period.
C. Perform a statistical test to determine if serial correlation is present. Assume that the critical values for 192 observations when there is a single independent variable are about 0.09 above the critical values for 100 observations.
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Related Book For
Quantitative Investment Analysis
ISBN: 978-1119104223
3rd edition
Authors: Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, David E. Runkle
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