How to detect and remove auto correlation (serial correlation)

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hello guys.. in this video i have showed how to detect auto correlation and how to remove it... there are two methods of detecting serial correlation i have shown you both.....
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Опубликовано:

20 сен 2024

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Комментарии : 37

@james-philipkksembeguya7260 3 года назад

However, when you run the model with its lagged value, only the lagged value is significant, how therefore would you interprete this?

@johnjr7475 Год назад

SIr, including lagged values of the dependent variable in the model may also introduce other issues, such as multicollinearity or overfitting.

@ananyabhatia5843 2 года назад

Sir what is the interpretation of the model if we take the lagged values and how to write it in any research paper

@adamharris57 3 года назад

so what will the new equation be after adding the Lag?

@digitechreviews2020 2 года назад

What is the removal method called ? What is the name of removal method?

@theneweconomicthinking7252 Год назад

Sir how to remove multicollinearity in the lag model if you have any video than plz share Link hare 🙏

@Lee-ly8fk 3 года назад

Can i know for the Durbin Watson range was it depend on the statistics? Like we need to look at our n and k to decide the range between DL and DU. For examples, if the n is 30 and the k is 5, the range is between 0.877 to 1.606?

@bonifasiusk.pascalsilalahi9779 Год назад

same question here, how to know the range please?

@econacademy16 Год назад

In no autocorrelation durbin watson stat should be near to 2 irrespective of anything else. To be on safe side we say 1.7 to 2.2

@saniasaeed6645 3 года назад

I've the problem of autocorretion in my model. The value of Durbin watson test is 0.47. I've added 2 lags of dependent varibale (GDP) but still the problem exist. What should I do?

@econacademy16 3 года назад

Add some relevant variables

@saniasaeed6645 3 года назад

Sir my Durbin Watson test value is now 2.13 , is it showing no autocorrelation now ? If yes then why my probability chi square is 0.0000 less than 5%??

@econacademy16 3 года назад

Durbin Watson is used for 1st order autocorrelation while durbin h is used for higher order autocorrelation

@shabbarimam4779 3 года назад

sir, i take Inflation as an dependent variable and GDP, GCF and GFCF as an independent variables but during bound test these all variables are insignificant,i also change the variables for significant results but not gain the desirable results plzz suggest me now what i do ?

@econacademy16 3 года назад

Did you connect your model with previous literature?

@ahmadz113 4 года назад

Hello , what do you mean by first order and higher orders ? Are you talking about differences ??

@econacademy16 4 года назад

First order means correlation with 1 period back observation. However higher order means 2 or more than 2 period back observation

@ahmadz113 4 года назад

@@econacademy16 thanks , I wish you help with a study i am doing . I have one dependent variable Y and 7 variables which i want to test their ability to predict y . but i am not sure which model is more suitable. All series are non stationary and not normal at level .I took the logs and first difference for all series and I ran VAR Eviews model . After that I tested the optimal lag and based on AIC it was 2 . Then i tested for Co-integration using 2 lags . There was two cointegrations defined . As far as my understanding if the variables are stationary at first difference and there is co-integeration , I shall go to VECM model with (p-1) . Once i run the VECM model , the residuals are not normal, serially correlated and has heteroskedasticity. What shall I do in this case ? What model is suitable ?

@emregokceli5087 3 года назад

Hi, although l used the one period lag of dependent variable as independent variable, there is still serial autocorrelation. What is your suggestion? Thanks

@econacademy16 3 года назад

There is also a built-in method for removal of serial correlation... I will make a video of it very soon

@elizaaizam7450 3 года назад

Hi, what if when i go to residual diagnostic in eviews, i dont have 'Serial Correlation LM Test'. I dunno where is wrong. I only have Arellano-Bond Serial Correlation Test. Please help me

@econacademy16 3 года назад

You can also use this test or try get eviews 10 from somewhere

@elizaaizam7450 3 года назад

@@econacademy16 Im using eviews11 now. I still can detect auto-correlation by using Durbin-Watson Stat right ? Please correct me if im wrong.

@econacademy16 3 года назад

Yes

@hasibamanat4170 4 года назад

Doing what you said but still I have serial correlation n hetroscadasticity

@afiafahmidadaizy2218 4 года назад

Dear Sir, when I use 1 lag my result is there is not serial correlation. But if I use more that 1 lag my result shows serial correlation. Can you tell me what should I do?

@econacademy16 4 года назад

So it is higher order autocorrelation. Plz watch videos on treatment of higher order auto corellation

@tan4620 4 года назад

Hello. Is the rule of thumb the same for panel data?

@econacademy16 4 года назад

the observation in panel data is relatively larger so the range between 1.5 to 2.5 is also sometimes considered as no autocorrelation. the more it is closer to 2 in absolute form the less there will be autocorrelation

@tan4620 4 года назад

@@econacademy16 thanks for the response.