Econometrics 1

1
Econometrics 1

• Lecture 9
• Autocorrelation

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Autocorrelation Causes and Consequences
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Review of Assumptions of the OLS Model
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Nature of autocorrelation
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Variance of the error term
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Consequence of Autocorrelation
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Variance and Covariance of Errors in Case of
Autocorrelation Compared to the Variance of a
Normal Error Term
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Variance and Covariance of Errors in Case of
Autocorrelation Compared to the Variance of a
Normal Error Term
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Detection graphical method
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Detection of Autocorrelation Graphical Method
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Durbin-Watson test
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Partial Autocorrelation Function and Order of
Autocorrelation
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Autocorrelation Corrected Errors
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Bruce-Godfrey higher order autocorrelation test
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Berenblutt-Webb test