Test Serial Correlation Regression. I Thus z In - XXX-1 X XP In - XXX- XI e Me say. 412 Testing for serial correlation in least squares regression.
Durbin J Watson GS. A popular test for serial correlation is the Durbin-Watson statistic. She finds that the estimated first order correlation coefficient is -035.
Jan 22 2015 Tests for Serial Correlation.
This paper presents simulation evidence that the new Wooldridge test has good size and power properties in reasonably sized samples. Serial correlation causes the estimated variances of the regression coefficients to be biased leading to unreliable hypothesis testing. It may be verified that M MI- M2. According to the results we strongly reject the null hypothesis of no serial correlation with a 5 level of significance.
