Serial correlation (also known as autocorrelation) is a violation of the Ordinary Least Squares assumption that all observations of the error term in a dataset are uncorrelated. In a model with serial correlation, the current value of the error term […]

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# Stationarity and Cointegration in R (adf, egcm, pp, kpss)

When we refer to a time series as stationary, we mean to say that its mean, variance and autocorrelation are all consistent over time. Cointegration, on the other hand, is when we have two time series that are non-stationary, but […]

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