I need to do a Durbin-h test for autocorrelation on some data but have missed a bunch of classes lately and have no idea what i am doing!
FUCK BEANS!
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I need to do a Durbin-h test for autocorrelation on some data but have missed a bunch of classes lately and have no idea what i am doing!
FUCK BEANS!
<BLOCKQUOTE><font size=2 face="Verdana, Helvetica, sans-serif">quote:</font><table border="0" width="90%" bgcolor="#333333" cellspacing="1" cellpadding="0"><tr><td width="100%"><table border="0" width="100%" cellspacing="0" cellpadding="2" bgcolor="#FF9900"><tr><td width="100%" bgcolor="#DDDDDD"><font size=2 face="Verdana, Helvetica, sans-serif">Originally posted by Adept:
have no idea what i am doing!
</font></td></tr></table></td></tr></table></BLOCKQUOTE>
ummmmmm sincerely,
That sports guy from CBS
I would be willing to bet significant amounts of money that i know more about my first post than you do!
Who really has no idea!?
<BLOCKQUOTE><font size=2 face="Verdana, Helvetica, sans-serif">quote:</font><table border="0" width="90%" bgcolor="#333333" cellspacing="1" cellpadding="0"><tr><td width="100%"><table border="0" width="100%" cellspacing="0" cellpadding="2" bgcolor="#FF9900"><tr><td width="100%" bgcolor="#DDDDDD"><font size=2 face="Verdana, Helvetica, sans-serif">Originally posted by Adept:
I ...have no idea what i am doing!
</font></td></tr></table></td></tr></table></BLOCKQUOTE>
<BLOCKQUOTE><font size=2 face="Verdana, Helvetica, sans-serif">quote:</font><table border="0" width="90%" bgcolor="#333333" cellspacing="1" cellpadding="0"><tr><td width="100%"><table border="0" width="100%" cellspacing="0" cellpadding="2" bgcolor="#FF9900"><tr><td width="100%" bgcolor="#DDDDDD"><font size=2 face="Verdana, Helvetica, sans-serif">I would be willing to bet significant amounts of money that i know more about my first post than you do!
Who really has no idea!?
</font></td></tr></table></td></tr></table></BLOCKQUOTE>
I'm not touching that bet. You win, you know more about nothing than anyone else here.
I had written a whole spiel about the Durbin-Watson d statistic, before realizing you had said h, which is for detecting serial correlation in autoregressive models.
Bummer. BUT, the h statistic is ten times easier to understand. Your null hypothesis is that there is NO first order (positive or negative) serial correlation.
h = (1 - 1/2(d)*sqrt((n)/(1-n(var(alpha)))
So you need to calcualte d first anyway. The good thing is that h is distributed asymptotically normal so the hypothesis test is basically the same as a z-test (+- 1.96 are your critical values at the .05 level).
<BLOCKQUOTE><font size=2 face="Verdana, Helvetica, sans-serif">quote:</font><table border="0" width="90%" bgcolor="#333333" cellspacing="1" cellpadding="0"><tr><td width="100%"><table border="0" width="100%" cellspacing="0" cellpadding="2" bgcolor="#FF9900"><tr><td width="100%" bgcolor="#DDDDDD"><font size=2 face="Verdana, Helvetica, sans-serif">Originally posted by Dr Bob:
The good thing is that h is distributed asymptotically normal so the hypothesis test is basically the same as a z-test (+- 1.96 are your critical values at the .05 level).</font></td></tr></table></td></tr></table></BLOCKQUOTE>
BBBWWWAAAHHHAAA!!! RACK!
You rule man.
I used the stat software to get the Durbin-Watson d, and then went through the steps.
I think i figured it out:
p = 0.0569935
Var (b1) = 0.133787
h = 0.164247
Null: not first order autocorrelation
Alt: first order correlation
h (less than) 1.96
0.164247 (less than) 1.96
Thefore, do not reject the null.
The assignment is too look at the relationship of bankruptcies in a specific sector. That test was a test of wheather lagged bankruptcies (the ln of) had an autocorrelation effect on period t bankruptcies.
The second part was to creat a dummy variable regarding GDP to see if GDP had an effect on bankruptcies. That sounds like a simple regression, but i am sure it isn't. Should i use something like GDP growth rate?
i.e.
y = a + bx + Dx
bankruptcies (ln of) = a + ln GDP + GDP growth r?
Does that make any sense?
These things are only worth 2%, so i have som bullshit answer about 'intuition' and shit, but whatever!?
Thanks for the help!!!!!
* I had square brackets outside circle brackets but hostboad doesn't support it!?
Hostboard is being a real bitch!!! I had to throw mathematical convention out the window just to post this!!!
ρ = 1 – 0.5d
ρ = 1 – 0.5 (1.886013)
ρ = 1 – 0.9430065
ρ = 0.0569935
Var (b1) = [s.e.(b1)]2
Var (b1) = (0.365769)2
Var (b1) = 0.133787
h = ρ [ n / (1 – n Var (b1)) ]1/2
h = 0.0569935 [10 / (9) (0.133787)]1/2
h = 0.0569935 (10 / 1.204083)1/2
h = 0.0569935 (8.305078)1/2
h = 0.0569935 (2.881853)
h = 0.164247
Ho: not first order autocorrelation
H1: first order correlation
h (less than) 1.96
0.164247 (less than) 1.96
There - with mathematical convention. Damn arrow brackets!
That model makes sense (since you need to test both level and change of GDP).
Is there a good reason to do the log of bankruptcies or GDP (is the distribution that splayed)?
Blah, blah, blah. Take it to the college hoops forum.
Muriel! Where's my dinner! http://www.hostboard.com/forums/
<BLOCKQUOTE><font size=2 face="Verdana, Helvetica, sans-serif">quote:</font><table border="0" width="90%" bgcolor="#333333" cellspacing="1" cellpadding="0"><tr><td width="100%"><table border="0" width="100%" cellspacing="0" cellpadding="2" bgcolor="#FF9900"><tr><td width="100%" bgcolor="#DDDDDD"><font size=2 face="Verdana, Helvetica, sans-serif">Originally posted by Dr Bob:
That model makes sense (since you need to test both level and change of GDP).
Is there a good reason to do the log of bankruptcies or GDP (is the distribution that splayed)?</font></td></tr></table></td></tr></table></BLOCKQUOTE>
I've handed in the assingment without the last question, but whatever.
The lns are used cause they are asked for in the assignment sheet.
One more thing, without going and getting anoher observation, that process of inculding a dummy variable of GDP growth would reduce my number of observations by one?
Adept:
The sum of the square roots of any two sides of an isosceles triangle is
equal to the square root of the remaining side.
Oh, joy! Rapture! I've got a brain! How can I ever thank you enough?
Dr. Bob Wizard:
Well, you can't!