Lecture 8: Serial Correlation - Columbia
(Note ). The estimate of the first serial correlation coefficient (α) is r 1 = c 1/c 0 Note: this is (almost) the sample correlation of residuals e 2, e 3, ...,e n with the “lag 1” residuals e 1, e 2, ..., e n-1 Estimating the first serial correlation coefficient from residuals of a single series ∑ ∑ = = = − = n t t n t c etet c e 2 ...
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