Serial Correlation and Serial Dependence : The New Palgrave Dictionary of Economics

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	Serial Correlation and Serial Dependence : The New Palgrave Dictionary of Economics
	Yongmiao Hong
刊名	http://www.wise.xmu.edu.cn/paperInfor.asp?id=105
	2013-11-08
关键词	ARMA models Durbin–Watson statistic efficient market hypothesis entropy generalized spectral density homoskedasticity heteroskedasticity kernel estimators Lagrange multipliers rational expectations serial correlation serial dependence spectral density statistical inference time series analysis
英文摘要	In this article we discuss serial correlation in a linear time series regression context and serial dependence in a nonlinear time series context. We first discuss various tests for serial correlation for both estimated regression residuals and observed raw data. Particular attention is paid to the impact of parameter estimation uncertainty and conditional heteroskedasticity on the asymptotic distribution of test statistics. We discuss the drawback of serial correlation in nonlinear time series models and introduce a number of measures that can capture nonlinear serial dependence and reveal useful information about serial dependence.; From The New Palgrave Dictionary of Economics, Second Edition, 2008 Edited by Steven N. Durlauf and Lawrence E. Blume
语种	中文
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/56898]
专题	王亚南院－已发表论文
推荐引用方式 GB/T 7714	Yongmiao Hong . Serial Correlation and Serial Dependence : The New Palgrave Dictionary of Economics[J]. http://www.wise.xmu.edu.cn/paperInfor.asp?id=105,2013.
APA	Yongmiao Hong .(2013).Serial Correlation and Serial Dependence : The New Palgrave Dictionary of Economics.http://www.wise.xmu.edu.cn/paperInfor.asp?id=105.
MLA	Yongmiao Hong ."Serial Correlation and Serial Dependence : The New Palgrave Dictionary of Economics".http://www.wise.xmu.edu.cn/paperInfor.asp?id=105 (2013).