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    7 views8 pages

    Autocorrelation Scanned

    Uploaded by

    kavishka ubeysekara

    Copyright:

    © All Rights Reserved
    Download as PDF or read online from Scribd
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    (OWPTERTWELVE. ALTOCORRICATION 471 va J we ' J ba 125 RELATIONSHIP BETWEEN WAGES AND PRODUCTIVITY 4 ef ii BUSINESS SECTOR OFTHE UNTED STATES 15 ane ; i Now that we have discussed the consequences of autocorrelation, the obvi- er e cus guesioni, How dowedtas and do econ fr 2 : Sunt the ops tinue to conser once sample ee Gresdaon os ° ai FIGURE 12.7 xf campansat (¥ end index prodcty (Unie Eats, 1059-108 TABLE 124 although there is sume tionship between the two tocestimatea linear: he For discussion purposes, we will call productivity regressions. v (ATA. ex TWO! ReLARING THE ASSLNETIONS OFTHE CLASSICAL MODEL oune 128 Alternatively, we ean plot the standardized residuals against time, which arealso shown in Fi Simply the residual (2B it they ‘mately unit variance.” In large distributed with zero mean and u ‘Examining the time sequence {hrm puna test OAPTERTWELE: AUTOCORRELTION 475 ‘Table 12.5. As this figure reveals, most of the residuals are bunched in the ure 12.32. A prior, then, Figure 12.8 woul the residuals. CERT owt po aunts abot ie pasa) dacbton 4476 PART TWO RELAKNG THE ASSUMPTIONS OF HE CLASSICAL UODEL Now let tables, the reader can verify that the residuals in our wages-prodctvty re- ‘Then under the null hypothesis that the successive outcomes (here, resid F is te a ‘actually they are positively correlated. als) are independent, and assuming that N= 10, the umber of ransisasyptoialy) normal dibaied wi H.Durtin-wateon Tea A. tot, celebrate tet fr detecing serial corclation la that developed (126.2) ! Hanis aes Destin wal Goene opel kabens te Dates Watson d statistic, which is defined as i? 0263) ll hypothesis of randomness is sustainable, following the proper- ‘normal ion, we should expect tha RSEIR)+1960—)=095 (12.6.3) Decision Rue. nt ec hen potest andomnes wit 95% cotonce FF ‘ers crn, fs tho precedngconiseace inva cs ea cnn 40, ‘train fs ose tao es (No: You can choose any loa Contre tne very : (12.6.4) reject the hypoth. ur wages-productivity regression are random 7 (470 exe RELIG THE ASQUMPTIONS OF HE GLASSCAL MODEL cenit regression model does not include the lagged value(s) of the de- Pendent variable as one of the explanatory variables Thus, Dlicable in models ofthe following type: Ym A+ BN + Bika t+ Xe t Morty (12.66) Ire ¥- the one period lagged value of ¥; Such models are known as sampling or probability distribution of the d statistic given in difficult to derive because, as Durbin and have shown, it ‘2 complicated way on the X values an BRA 2B aan Sines Ei and Sa differ in only one observation, they are approxi tnutely equal. Therefore, setting Fa! , SG, (12.6.7) may be wiles o¢ 2 (122 BABens am2(1- 288-1) (126.8) where ~ means approximately. sata tn: fi Gar Koro, Lando Mate, sd van Suey Pr ecm by Fr agin 199 po Re ae "at se the scsson onthe “eac”DaWatn tat given ater ihe section, dea Ci-3) magaeay But since -1 < p < 1, (12,6.10) implies that dees posse caste limits. Itis apparent from ‘comparison with ‘mains a unique value for any given regression. 400. me Twor Renna HE ARSUNETIONS mau 128 ymparatively larger than the ics of the Durbin-Watson test are as fol Si ae and he computed df 0.1299hes below de there pote seal conelaton ne red Nanagaie craton No astern, pote rage » Curren TWELYE: AITOCORRELATION 48% Ss Retl p 0 versus His <0. Reject Hy at a level if the estimated {oi dys that is, there Is statistically significant evidence of negative ‘autocorrelation. Shere = 0 versus Hi: 4 0.Reject He at 2a level ifd

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