Skip to main content
Top

2023 | OriginalPaper | Chapter

Autocorrelation of an Econometric Model

Authors : Preeti Singh, Sarvpal Singh

Published in: Smart Trends in Computing and Communications

Publisher: Springer Nature Singapore

Activate our intelligent search to find suitable subject content or patents.

search-config
loading …

Abstract

The treatment of an econometric model requires a clearly defined sequence of tasks. The identification of the model leads us to review the literature, to justify the defined relationship between the dependent variable and the independent variables. Model estimation uses the mathematical apparatus to find the equation of fit. Once the model has been estimated, it must be properly diagnosed using statistical tests. After the diagnosis phase, one can use the model to make predictions. This contribution deals with the identification, estimation, diagnosis, and prediction phases for the treatment of econometric models. Likewise, the diagnosis is deepened by developing the problems of autocorrelation, heteroscedasticity, residual normality, multicollinearity, endogeneity, and others.

Dont have a licence yet? Then find out more about our products and how to get one now:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Springer Professional "Technik"

Online-Abonnement

Mit Springer Professional "Technik" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 390 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Maschinenbau + Werkstoffe




 

Jetzt Wissensvorsprung sichern!

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

Literature
1.
go back to reference N.S. Balke, Detecting level shifts in time series. J. Bus. Econ. Stat. 11(1), 81–92 (1993) N.S. Balke, Detecting level shifts in time series. J. Bus. Econ. Stat. 11(1), 81–92 (1993)
2.
go back to reference P. Perron, The great crash, the oil price shock, and the unit root hypothesis. Econometrica J. Econometric Soc., 1361–1401 (1989) P. Perron, The great crash, the oil price shock, and the unit root hypothesis. Econometrica J. Econometric Soc., 1361–1401 (1989)
3.
go back to reference R.L. Lumsdaine, D.H. Papell, Multiple trend breaks and the unit-root hypothesis. Rev. Econ. Stat. 79(2), 212–218 (1997)CrossRef R.L. Lumsdaine, D.H. Papell, Multiple trend breaks and the unit-root hypothesis. Rev. Econ. Stat. 79(2), 212–218 (1997)CrossRef
4.
go back to reference L.C. Nunes, P. Newbold, C.-M. Kuan, Spurious number of breaks. Econ. Lett. 50(2), 175–178 (1996)CrossRef L.C. Nunes, P. Newbold, C.-M. Kuan, Spurious number of breaks. Econ. Lett. 50(2), 175–178 (1996)CrossRef
5.
go back to reference G.C. Chow, Tests of equality between sets of coefficients in two linear regressions. Econometrica J. Econometric Soc., 591–605 (1960) G.C. Chow, Tests of equality between sets of coefficients in two linear regressions. Econometrica J. Econometric Soc., 591–605 (1960)
6.
go back to reference R. Quandt, Tests of the hypothesis that a linear regression obeys two separate regimes. J. Am. Stat. Assoc. 55 (1960) R. Quandt, Tests of the hypothesis that a linear regression obeys two separate regimes. J. Am. Stat. Assoc. 55 (1960)
7.
go back to reference D.W. Andrews, Tests for parameter instability and structural change with unknown change point. Econometrica J. Econometric Soc., 821–856 (1993) D.W. Andrews, Tests for parameter instability and structural change with unknown change point. Econometrica J. Econometric Soc., 821–856 (1993)
8.
go back to reference A. Banerjee, R.L. Lumsdaine, J.H. Stock, Recursive and sequential tests of the unit-root and trend-break hypotheses: theory and international evidence. J. Bus. Econ. Stat. 10(3), 271–287 (1992) A. Banerjee, R.L. Lumsdaine, J.H. Stock, Recursive and sequential tests of the unit-root and trend-break hypotheses: theory and international evidence. J. Bus. Econ. Stat. 10(3), 271–287 (1992)
9.
go back to reference J. Bai, Estimation of a change point in multiple regression models. Rev. Econ. Stat. 79(4), 551–563 (1997)CrossRef J. Bai, Estimation of a change point in multiple regression models. Rev. Econ. Stat. 79(4), 551–563 (1997)CrossRef
10.
go back to reference C.W. Granger, N. Hyung, Occasional structural breaks and long memory with an application to the s&p 500 absolute stock returns. J. Empir. Financ. 11(3), 399–421 (2004)CrossRef C.W. Granger, N. Hyung, Occasional structural breaks and long memory with an application to the s&p 500 absolute stock returns. J. Empir. Financ. 11(3), 399–421 (2004)CrossRef
Metadata
Title
Autocorrelation of an Econometric Model
Authors
Preeti Singh
Sarvpal Singh
Copyright Year
2023
Publisher
Springer Nature Singapore
DOI
https://doi.org/10.1007/978-981-16-9967-2_28

Premium Partner