serial correlation


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Related to serial correlation: multicollinearity

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.
References in periodicals archive ?
The result from LM test proves that there is no serial correlation among the variables as shown in Table-4.
Table 5 Diagnostics Tests of the Models (P-Values) UM RWD RWDT Benchmark Models Serial Correlation [0.
Table 7 presents results of standard diagnostic tests to check serial correlation, heteroskedasticity and normality of residuals along with correct specification of the model.
Additionally, we have applied the Breusch--Godfrey Serial Correlation LM test, concluding that: there is no serial correlation with the null hypothesis, thus we accept the null hypothesis because the P-value of Chi-square is 37.
Given the results of the above tests, we correct for groupwise heteroskedasticity, serial correlation, and cross-sectional dependence using the methods outlined in Hoechle (2007).
Tables 7 and 8 report the output of regressions that use the Cochrane-Orcutt technique to correct for serial correlation.
Serial correlation within market basket indices was high (r > 0.
Our sample has enough variability in observables and less unobserved heterogeneity than cross-country ones, but is potentially affected by spatial dependence and serial correlation.
The validity of the instruments can be assessed with the Hansen/Sargan test of over-identifying restrictions (OIR), with a chi-square distribution under the null that the OIR is valid and there is no-second order serial correlation in the residuals, providing an additional check of the model specification.
Similar test (Serial Correlation LM test) for testing serial correlation of quadratic errors is ARCH LM Test.
Autoregressiveness, serial correlation, violation of Durbin-Watson d-test and nonlinearity of parameter estimation are some of the problems of this approach.
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