Re: [Gretl-users] Runs test
El Tuesday 17 March 2009 12:06:18 Ana Jesús López escribió:
Hello
I am having problems while running the runs test in levels, since the
number of runs (R) in the variable 'c_cemento'is always equal to 1 and
therefore the p value is always very low thus rejecting the null hypothesis
of randomness. This problem does not appear when the test is run over the
first-difference series. Thanks and best regards
This is normal if c_cemento is always positive. The runs test is based on the
number of positive runs and negative runs, and tests randomness around the
zero value. If all numbers are positive, there is only one run.
(See for example http://en.wikipedia.org/wiki/Wald-Wolfowitz_runs_test )
--
Ignacio Diaz-Emparanza
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)
UPV/EHU
Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
T.: +34 946013732 | F.: +34 946013754
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