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Autocorrelation Problem - Econometric Modeling - Lecture Notes

Lecture Notes, Econometrics

Post: October 22th, 2012
Description
Econometric models are statistical models used in econometric. This modelling tool help economist develop future economy plan for the company. This lecture note discuss important points for understanding Econometric modelling, it includes Autocorrelation, Consequences, Problem, Detection, Criteria, Causes, Measures
Econometric models are statistical models used in econometric. This modelling tool help economist develop future economy plan for the company. This lecture note discuss important points for understanding Econometric modelling, it includes Autocorrelation, Consequences, Problem, Detection, Criteria, Causes, Measures
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Contents
2 | P a g e         13. MODULE OBJECTIVE This module attempts to explore the possibilities of correlation in cross sectional units of error variables. The estimated model by the application of OLS, discussed earlier, is based on the assumption that there should not be any relationship among the error regressors. That is covariance between two errors variables should equal to zero [i.e. Cov (Ui, Uj) = 0 for i ≠ j]. If this assumption is violated, then there is chance of autocorrelation. It is otherwise called as serial correlation. So, serial correlation occurs when the error in estimated econometric models are correlated. In this module, we deal with the followings: 1. WHAT IS AUTOCORRELATION AND HOW IS ITS NATURE? 2. WHAT ARE ITS CONSEQUENCES? 3. DOES IT REALLY A PROBLEM? 4. DETECTION CRITERIA 5. CAUSES OF AUTOCORRELATION 6. REMEDIAL MEASURES 2    Docsity.com 3 | P a g e     WHAT IS AUTOCORRELATION? In  general,  autocorrelation  means  the  correlation  amon..

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