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Testing for Autocorrelation


 
Tests to check for autocorrelation include


Durbin-Watson test

 
Lagged scatterplot
  • A scatterplot of yt against yt-k


acf and pacf
 




Box-Pierce statistic

The distribution of the sample acf is rk ~ N(0,1/T)
QBP = T*sum(rk2) which has a chi-square distribution


Ljung-Box statistic
From NIST:
NIST Box-Ljung test