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defour44

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发表于 2011-7-11 19:31 | 只看该作者
davidyoung@sitkapacific.com Wrote:
-------------------------------------------------------
> Nice, well done. I don't think we need to memorize
> it either, but I just did.
>
> Here's another one, which I'm sure you'll get.
>
> What is the standard error of the autocorrelations
> of the residuals? (it's not a big equation either)


Square root of n, where n is the number of lagged variables.

NO EXCUSES

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genuinecfa

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12#
发表于 2011-7-11 19:31 | 只看该作者
it is 1/sqrt(T) where T = # of observations of the sample. (# of time periods for which the time series regression is being performed).

CP

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bdavi77962

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13#
发表于 2011-7-11 19:31 | 只看该作者
1 - ((n-1/n-k-1) - (1-r^2))

think that's it

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CPATrader

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14#
发表于 2011-7-11 19:31 | 只看该作者
True or false? You can use a DW statistic for testing for serial correlation on a regression equation that uses lagged values. Include a reason in your answer.

why is this false?
DW is used for serial correlation, isnt it?

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YAhmed

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15#
发表于 2011-7-11 19:31 | 只看该作者
You use DW for serial correlation.

But the question shows that it is a time series model which by itself mostly has serial correlation. You will need to check the significance of auto correlations to determine whether it is a problem or not.

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comp_sci_kid

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16#
发表于 2011-7-11 19:31 | 只看该作者
small correction: JP
"
1 - ((n-1/n-k-1) - (1-r^2))

think that's it
"
1 - ((n-1)/(n-k-1) * (1-r^2))

Not Minus but *

CP



Edited 1 time(s). Last edit at Monday, May 3, 2010 at 07:03AM by cpk123.

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