I realize the actual computation isn’t required for the exam, but just to help me conceptually on this thing… Assume we have the following values: x1: 1.0 x2: 1.6 x3: 2.0 x4: 2.5 The residuals are the following: r1: -0,04 r2: 0,07 r3: -0,02 r4: -0,01 Var x = 1,67 What’s the first-order residual autocorrelation? What’s the second-order? How do you calculate them?
3
3? I assume you are joking. The answer is .6377. It is found by regressing the residuals on their own lagged values without the intercept.