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Correlation In Time Series Regression

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  • Robert Nash Parker

    (University of Akron)

Abstract

Sociologists have recently become more interested in testing dynamic models of social change via time series regression techniques (e.g., Snyder, 1975; Franke and Kaul, 1978; Burstein and Freudenburg, 1978). The existence of serial correlation in the disturbance term, which would constitute a violation of one of the standard regression model assumptions, is usually tested for in such models via the Durbm-Watson (1950, 1951) d test statrstic. However, the Durbin-Watson test often allows no inference concerning the existence of serial correlation because the critical values of the test cannot be tabulated exactly. Geary †1970∪ proposed a test statistic, tau, which is easy to calculate and has an exact probability distribution. This article discusses serial correlation and its consequences for OLS regression equations, proposes the Geary test as a convenient addition to the Durbin-Watson test, and argues that the Geary test provides additional information, especially in the case of indeterminancy in the Durbin-Watson. The use of tau is illustrated by replications of three sociological studies and, although the Geary test is consistently less powerful than the Durbin-Watson test, it is a useful additional piece of information in most situations.

Suggested Citation

  • Robert Nash Parker, 1980. "Correlation In Time Series Regression," Sociological Methods & Research, , vol. 9(1), pages 99-114, August.
    • Handle: RePEc:sae:somere:v:9:y:1980:i:1:p:99-114
    DOI: 10.1177/004912418000900105
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    References listed on IDEAS

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    1. Tillman, J A, 1974. "The Relative Power of the t-Test: A Comment," The Review of Economics and Statistics, MIT Press, vol. 56(3), pages 416-417, August.
    2. Belsley, David A, 1974. "The t-Test and High-Order Serial Correlation: A Reply," The Review of Economics and Statistics, MIT Press, vol. 56(3), pages 417-418, August.
    3. Schmidt, Peter & Guilkey, David K, 1975. "Some Further Evidence on the Power of the Durbin-Watson and Geary Tests," The Review of Economics and Statistics, MIT Press, vol. 57(3), pages 379-382, August.
    4. Durbin, J, 1970. "An Alternative to the Bounds Test for Testing for Serial Correlation in Least-Squares Regression," Econometrica, Econometric Society, vol. 38(3), pages 422-429, May.
    5. Habibagahi, Hamid & Pratschke, John L, 1972. "A Comparison of the Power of the von Neumann Ratio, Durbin-Watson and Geary Tests," The Review of Economics and Statistics, MIT Press, vol. 54(2), pages 179-185, May.
    6. Harrison, M J, 1975. "The Power of the Durbin-Watson and Geary Tests: Comment and Further Evidence," The Review of Economics and Statistics, MIT Press, vol. 57(3), pages 377-379, August.
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