No. of Recommendations: 0
Hi Mike,
I don't think anyone else here will be interested but autocorrelation is just the correlation between two consecutive points in time in a series of one variable (like correlation is the correlation between 2 different variables at the same time).

DW is a measure of lag 1 positive autocorrelation and a value<2 should be significant.

When you do a regression the error terms are supposed to be independent. In a time series with autocorrelation this assumption is violated. If you are doing this for something like a thesis or for a large project at your job I would have somebody who knows how to do forecasting work on it.

If you are doing a short range prediction for not a ton of money and you aren't worried about things like seasonality, risk management, or CIs, I probably would not worry about the autocorrelation. -Jeff
Print the post  


When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
Contact Us
Contact Customer Service and other Fool departments here.
Work for Fools?
Winner of the Washingtonian great places to work, and Glassdoor #1 Company to Work For 2015! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.