Dear all,
I want to test if a time series is autocorrelated. So I calculated the sample autocorrelation coefficient (SAC) at various lags and now I want to test the individual significance of them.
We know that the SAC asymptotically follows the normal with mean zero and variance 1/T. But is there any quick way to conduct this test?
I know that corrgram produces the SAC but not the p-values for that test.
Best,
John
Related Posts with Testing the significance of the autocorrelation coefficient at various lags in time series
How to graph the moderating effect(moderator: dummy variable) of a quadratic model?Dear specialists, I really thank everyone here sparing no efforts to help me. I have a censored da…
floatplot -legend- optionDear Nick Cox , I have started using your -floatplot- from SSC program. I really like to use it more…
Regarding Interval data (generating more years and duplicating values)Dear, Can anyone help me to manage the data? I have interval data. Since the data are only availabl…
Regarding Interval data (generating more years and duplicating values)Dear, Can anyone help me to manage the data? I have interval data. Since the data are only availabl…
panel data with cross sectional dependence and autocorrelationI have a panel data with N>T (N=157, T=15). Have taken log of a few variables to make it Heterosc…
Subscribe to:
Post Comments (Atom)
0 Response to Testing the significance of the autocorrelation coefficient at various lags in time series
Post a Comment