Tests for autocorrelation 1. Durbin-Watson test 1 Suppose the linear regression model is =b+bX1n+…+bX+E(b≠0) E=nE1+U,(AR(1)) cov(8 阶自相关系数:P t2t-1 2 。将E用残差 代替并运用OLS于以上AR(1)可得估计Tests for Autocorrelation 1. Durbin-Watson test 1) Suppose the linear regression model is 一阶自相关系数: 。 将 用残差 代替并运用OLS于以上AR(1)可得估计 0 1 1 0 ( 0) Y = b b X b X + b t t k kt t + + +   1 (AR(1)) t t t    = + − 1 2 cov( , ) t t      − = 2 1 1 2 2 ˆ n n t t t t t  e e e − − = = =   t