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Questions tagged [autocorrelation]

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Include 'year' as an independent variable to deal with autocorrelation?

I'm working on an econometrics project for which I'm trying to study the impact of factors such as p.c. GDP growth, exports, inflation and interest rate on the debt-to-GDP ratio of a country, for 4 ...
viktor nikiforov's user avatar
0 votes
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can someone help to interpret ACF and PACF graph?

can someone help to interpret ACF and PACF graph? in the graphs, I don't see any decay. am I right about that assumption other than that what can I comment about both? the data plotted is squared ...
Sarthak Gurnani's user avatar
7 votes
2 answers

Testing for serial correlation with General Regressors

This is from Introductory Econometrics (Wooldridge) 5th Edition page 420. Consider: $$y_t =\beta_0 +\beta_1 x_{1t}+\beta_2 x_{2t}+...+\beta_k x_{kt}+u_t$$ where $Cov(u_t, x_{jt})=0$ for all $j$ but ...
Michael Gmeiner's user avatar