Testing for Serial Correlation against an ARMA(1, 1) Process

Serial Correlation Coefficient

In this paper, we investigate the relation between two variables where the one is measured with the ratio or interval scale and the other with the nominal. In this cases, we use from serial correlation coefficient. Computation of some serial coefficient such as biserial and point-biserial coefficient is carried out with some examples and R program.

Models, Testing, and Correction of Serial Correlation

Testing against Changing Correlation

A test for time-varying correlation is developed within the framework of a dynamic conditional score (DCS) model for both Gaussian and Student t-distributions. The test may be interpreted as a Lagrange multiplier test and modi…ed to allow for the estimation of models for time-varying volatility in the individual series. Unlike standard moment-based tests, the score-based test statistic includes...

Testing for Serial Correlation: Generalized Andrews- Ploberger Tests

N. E. Savin Department of Economics, University of Iowa, Iowa City, IA 52242. August, 2008 (forthcoming in Journal of Business and Economic Statistics) ABSTRACT This paper considers testing the null hypothesis that a times series is uncorrelated when the time series is uncorrelated but statistically dependent. This case is of interest in economic and finance applications. The GARCH (1, 1) model...

Testing for Serial Correlation in Fixed-Effects Panel Data Models

In this paper, we propose three new tests for serial correlation in the disturbances of fixed-effects panel data models. First, a modified Bhargava, Franzini and Narendranathan (1982) panel Durbin-Watson statistic that does not need to be tabulated as it follows a standard normal distribution. Second, a modified Baltagi and Li (1991) LM statistic with limit distribution independent of T , and, ...