Displaying 1 result from an estimated 1 matches for "n4631336".
Did you mean:
461336
2012 May 25
1
Problem with Autocorrelation and GLS Regression
...on 1 and 123 DF, p-value: 0.6072 /
I did several tests for assessing the quality of the estimation (like
breusch-pagan, breusch-godfrey, chow-breakpoint, arch lm tests). The model
has now clearly a problem with autocorrelation as you can see in de images
below:
http://r.789695.n4.nabble.com/file/n4631336/resid_resn.png
http://r.789695.n4.nabble.com/file/n4631336/pacf_resid_resn.png
To take into account the problem of autocorrelation, I did a gls estimation
with an AR(1) process and get the following output:
/> summary(gls(ror_resn~ror_spi_resn, correlation=corARMA(p=1),
method="ML"...