serial correlation

  1. J

    Durbin-Watson test vs Breusch-Godfrey test

    I performed DW test (DW=4) and Godfrey test (Godfrey=4) on a small sample size (60 observations). The DW test results accept the null hypothesis (4 Pr>W value are all >0.05). However, for Godfrey test, only AR(1) accept the null hypothesis (Pr>LM value >0.05). AR(2)-AR(4) all have very small P...
  2. helgasaraswati

    Autocorrelation With Breusch Godfrey Serial Correlation LM Test R Commander

    This Is One Method For Detecting Classic Assumption of Autocorrelation Using Breusch Godfrey Serial Correlation LM Test. It's Using Software R Commander. This is the Autocorrelation Tutorial With Breusch Godfrey Serial Correlation LM Test R Commander.
  3. M

    Mann-Kendall Trend Test

    Dear members, I have annual time series (63 years) and I've performed Mann-Kendall test on my data. The Lag-1 serial correlation is not significant. So, I've used three package to compare the results, and I've confused! * ZYP package: If Lag-1 serial correlation is significant, it uses Yuepilon...
  4. K

    How to correct for autocorrelation in Excel

    I do not understand how to correct for autocorrelation. One website easily describes how to do it in excel however I could not find any sources to verify this: https://analysights.wordpress.com/tag/data-analysis-using-microsoft-excel/ This is the site that explains how to correct, however...
  5. G

    Newey and West in panel data

    Morning, I am working on a panel data and i am finding serial correlation and heteroscedasticity. To obtain right regression i would like to use the Newey and West method. So i use the command "newey2 ..., lag(#)". I though that the newey and west method just change the standard error...
  6. C

    Paired comparison test for serially correlated data

    Hi, I'm doing a paired data comparison (upwind vs. downwind), using the Wilcoxon signed rank test using hourly data. The paired data sets are somewhat correlated because they were measured during the same hour. From text I have read, this appears to be permitted for paired data analysis...