Serial Correlation, Stationarity and Cointegration Testing Using R (dwtest, adf, egcm)

Описание к видео Serial Correlation, Stationarity and Cointegration Testing Using R (dwtest, adf, egcm)

This tutorial illustrates how to test a time series for serial correlation/autocorrelation using the Durbin-Watson test, and remedy using the Cochrane-Orcutt method.

We will also cover how to use the Dickey-Fuller and Phillips-Perron tests for stationarity, and also test a time series for cointegration using the Engle-Granger method.

Find more data science and machine learning content at: http://www.michael-grogan.com/

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