First Order Serial Correlation Excel. The autocorrelation function ACF at lag k denoted ρk of a stationary stochastic process is defined as ρk γkγ0 where γk cov yi yik for any i. The coefficient of correlation between two values in a time series is called the autocorrelation function ACF For example the ACF for a time series y_t is given by.
Click Options on the bottom of the left-hand sidebar. The Durbin-Watson test statistic can be computed in proc reg by using option dw after the model statement. Errors might also be lagged eg.
Before going to the next step and running ANOVA test to check the variances and means of the three data sets I need to remove the serial correlation.
Serial correlation can be either positive or negative. The AR 1 model which normally used to account for serial correlation in regression analysis did not work in my case. So Excel knows to. H0 First-order autocorrelation does not exist.
