Unit root test for autocorrelation

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Lalan_dk
Posts: 19
Joined: Tue Apr 10, 2018 9:51 pm

Unit root test for autocorrelation

Postby Lalan_dk » Sun Feb 03, 2019 9:04 pm

Hi, can we use unit root test of residual to detect autocorrelation in a time series model? Are stationarity of the residual means there is no autocorrelation?

EViews Mirza
Posts: 49
Joined: Sat Apr 22, 2017 8:23 pm

Re: Unit root test for autocorrelation

Postby EViews Mirza » Wed Feb 06, 2019 11:14 am

To determine if residuals are serially correlated, you must use tests designed to test for this specifically. The most famous of these tests is the Durbin-Watson, but you should probably use the LM tests proposed by White, Breusch-Pagan-Godfrey, Harvey, and so on.

Note that if you are testing for unit-roots in the residuals, what you are effectively testing is for cointegration between the variables used in the regression which generated the residuals in the first place.

Lalan_dk
Posts: 19
Joined: Tue Apr 10, 2018 9:51 pm

Re: Unit root test for autocorrelation

Postby Lalan_dk » Mon Feb 18, 2019 2:08 am

If there is cointegration between variables, is it means there is no autocorrelation in that model?

startz
Non-normality and collinearity are NOT problems!
Posts: 3499
Joined: Wed Sep 17, 2008 2:25 pm

Re: Unit root test for autocorrelation

Postby startz » Mon Feb 18, 2019 1:21 pm

No.


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