Test For Second Order Autocorrelation. The small sample distribution of this ratio was derived by John von Neumann. Autocorrelation means that the data has a correlation.
I t τdt I t. Autocorrelation is diagnosed using a correlogram ACF plot and can be tested using the Durbin-Watson test. If the ordinary Durbin-Watson test indicates no first-order autocorrelation you can use the second-order test to check for second-order autocorrelation.
If the absence of the second-order serial correlation in disturbances which is the null hypothesis is not.
The small sample distribution of this ratio was derived by John von Neumann. The auto part of autocorrelation is from the Greek word for self and autocorrelation means data that is correlated with itself as opposed to being correlated with some other data. Xtserial logy x Wooldridge test for autocorrelation in panel data H0. The autocorrelation function is defined as a normalized integral over all time of the product of a function at time t I t multiplied by itself with a different value of time I t τ.
