A Note On Regression Analysis And Its Misinterpretations
A Note On Regression Analysis And Its Misinterpretations
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A similar argument holds, of course, for averages (or volatility differences) of High versus Low prices in a given time period.
Page 4.
If strong autocorrelation exists in X the least squares regression estimators will still be unbiased, but the standard error of estimate and the sample variance of the regression coefficients will be seriously (2") underestimated, i. E. Standard t-test and F-test tables are no longer valid.
Diagnosisj.
A test for the presence of autocorrelated disturbances is a...vailable in form of the Durbin Watson d-statistic: n y n d = L ((y. - y. ) - (y. , - y. , )) /L. (y - y ); i = 1, 2, ,n .
i=2 ^ ^ ^'^ ^'^ i=l ^ ^ Adjusted for the number of explanatory variablesj tables are available for critical upper (significant autocorrelation) and lower (no significant auto- correlation) bounds of d. However, for intermediate values of d the Durbin Watson test is inconclusive, i. E. Can neither accept nor reject a hypothesis of independence among the regression disturbances.
What to read after A Note On Regression Analysis And Its Misinterpretations?
You can find similar books in the "Read Also" column, or choose other free books by Peer Peer Olav Soelberg to read onlineMoreLess
To quickly assess the difficulty of the text, read a short excerpt:
A similar argument holds, of course, for averages (or volatility differences) of High versus Low prices in a given time period.
Page 4.
If strong autocorrelation exists in X the least squares regression estimators will still be unbiased, but the standard error of estimate and the sample variance of the regression coefficients will be seriously (2") underestimated, i. E. Standard t-test and F-test tables are no longer valid.
Diagnosisj.
A test for the presence of autocorrelated disturbances is a...vailable in form of the Durbin Watson d-statistic: n y n d = L ((y. - y. ) - (y. , - y. , )) /L. (y - y ); i = 1, 2, ,n .
i=2 ^ ^ ^'^ ^'^ i=l ^ ^ Adjusted for the number of explanatory variablesj tables are available for critical upper (significant autocorrelation) and lower (no significant auto- correlation) bounds of d. However, for intermediate values of d the Durbin Watson test is inconclusive, i. E. Can neither accept nor reject a hypothesis of independence among the regression disturbances.
What to read after A Note On Regression Analysis And Its Misinterpretations?
You can find similar books in the "Read Also" column, or choose other free books by Peer Peer Olav Soelberg to read onlineMoreLess
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