) In estimating the regression in the previous problem (#2), you are concerned that the t-statistics may be inflated because of serial correlation. You compute the DW statistic at 0.724 for the regressionBased on the DW, what can you say about serial correlation between the residuals? Are they positively or negatively correlated? Or not correlated?Compute the sample correlation between the regression residuals from one period and those from the previous period.Perform a statistical test at the level to see if there is serial correlation. If you are using the table in the textbook, assume that the critical values of the DW statistic for 214 observations are about 0.11 higher than the critical values for 100 observations.

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4th Edition

ISBN:9781285463247

Author:David Poole

Publisher:David Poole

Chapter7: Distance And Approximation

Section7.3: Least Squares Approximation

Problem 33EQ

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) In estimating the regression in the previous problem (#2), you are concerned that the t-statistics may be inflated because of serial correlation. You compute the DW statistic at 0.724 for the regression
Based on the DW, what can you say about serial correlation between the residuals? Are they positively or negatively correlated? Or not correlated?
Compute the sample correlation between the regression residuals from one period and those from the previous period.
Perform a statistical test at the level to see if there is serial correlation. If you are using the table in the textbook, assume that the critical values of the DW statistic for 214 observations are about 0.11 higher than the critical values for 100 observations.

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