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- 2011-5-24
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12#
发表于 2011-7-13 16:24
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Just reviewed this section:
For simple time series Trend Analyis, use dicky fuller and follow CFA_Chap's analysis.
For AR models, you need to perform a t-test on the autocorrelation or series correlation coefficients. If those are significant (generally greater than 2), then autocorrelation exists. This is also used for idenitfying seasonality I believe.
For AR, there is also the ARCH test for conditional heteroskedasticity. Once again, if the t-stats on the coefficients are significant, the model is invalid and needs to be respecified.
I do hope we don't have to calculate, and can merely look at the reports :-) |
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