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In Python Statsmodels, the acorr_breusch_godfrey function in the module statsmodels.stats.diagnostic [9] In EViews, this test is already done after a regression, at "View" → "Residual Diagnostics" → "Serial Correlation LM Test". In Julia, the BreuschGodfreyTest function is available in the HypothesisTests package. [10]
ECMs are a theoretically-driven approach useful for estimating both short-term and long-term effects of one time series on another. The term error-correction relates to the fact that last-period's deviation from a long-run equilibrium, the error, influences its short-run dynamics. Thus ECMs directly estimate the speed at which a dependent ...
In econometrics, Prais–Winsten estimation is a procedure meant to take care of the serial correlation of type AR(1) in a linear model.Conceived by Sigbert Prais and Christopher Winsten in 1954, [1] it is a modification of Cochrane–Orcutt estimation in the sense that it does not lose the first observation, which leads to more efficiency as a result and makes it a special case of feasible ...
In the analysis of data, a correlogram is a chart of correlation statistics. For example, in time series analysis, a plot of the sample autocorrelations versus (the time lags) is an autocorrelogram. If cross-correlation is plotted, the result is called a cross-correlogram.
Pearson's correlation coefficient is the covariance of the two variables divided by the product of their standard deviations. The form of the definition involves a "product moment", that is, the mean (the first moment about the origin) of the product of the mean-adjusted random variables; hence the modifier product-moment in the name.
In statistics, Hoeffding's test of independence, named after Wassily Hoeffding, is a test based on the population measure of deviation from independence = where is the joint distribution function of two random variables, and and are their marginal distribution functions.
A correlation function is a function that gives the statistical correlation between random variables, contingent on the spatial or temporal distance between those variables. [1] If one considers the correlation function between random variables representing the same quantity measured at two different points, then this is often referred to as an ...
The coefficient of multiple correlation is known as the square root of the coefficient of determination, but under the particular assumptions that an intercept is included and that the best possible linear predictors are used, whereas the coefficient of determination is defined for more general cases, including those of nonlinear prediction and those in which the predicted values have not been ...