December 2018
Beginner to intermediate
684 pages
21h 9m
English
Content preview from Hands-On Machine Learning for Algorithmic Trading
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Serial correlation
Serial correlation means that consecutive residuals produced by linear regression are correlated, which violates the fourth GMT assumption. Positive serial correlation implies that the standard errors are underestimated and the t-statistics will be inflated, leading to false discoveries if ignored. However, there are procedures to correct for serial correlation when calculating standard errors.
The Durbin-Watson statistic diagnoses serial correlation. It tests the hypothesis that the OLS residuals are not autocorrelated against the alternative that they follow an autoregressive process (that we will explore in the next chapter). The test statistic ranges from 0 to 4, and values near 2 indicate non-autocorrelation, lower ...
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