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serial correlation

   Also found in: Dictionary/thesaurus, Financial, Wikipedia 0.01 sec.
serial correlation [′sir·ē·əl ‚kär·ə′lā·shən]
(statistics)
The correlation between values of events in a time series and those values ahead or behind by a fixed amount in time or space or between parts of two different time series.


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Using the productivity-disturbance process that Letendre (2004) estimates from the Canadian post 1981 quarterly data, we find that in Mendoza's model with capital adjustment costs, output is less volatile than that observed in the actual economy, and the coefficients of serial correlation in GDP, investment, and work effort are all statistically lower than their empirical counterparts.
Later tests will also be conducted to determine if other coefficients in the specification are identical across countries and to determine if serial correlation is present in the residuals.
 
 
 
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