What is autocorrelation? Extensive video!

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  • เผยแพร่เมื่อ 20 ต.ค. 2024

ความคิดเห็น • 134

  • @matterece3164
    @matterece3164 4 หลายเดือนก่อน +4

    I hope this dude gets everything he wants in life with the gifts he's giving to humanity

  • @nurfarrahumairah3475
    @nurfarrahumairah3475 4 ปีที่แล้ว +28

    Actually, autocorrelation is a mathematical representation of the degree of similarity between a given time series and a lagged version of itself over successive time intervals. Based on this video, I got more information such as the causes of autocorrelation, the remedies on how to solve the issue and what we should use to test the autocorrelation. Thank you for the good video.

  • @JHillMD
    @JHillMD 4 ปีที่แล้ว +14

    This is the best treatment of this subject I’ve seen. You’re an excellent teacher.

  • @tanushreesingh4822
    @tanushreesingh4822 4 ปีที่แล้ว +25

    i pay my university for nothing , you tube should start its university and start providing degrees so that we dont have to waste our money ,thank you so much sir

  • @voleerd
    @voleerd 5 ปีที่แล้ว +134

    i pay tuition fee, to go to youtube and understand what i am studying.
    Thank you zedstatistic
    Any possibility that we can donate money?

    • @newbestofthis4422
      @newbestofthis4422 5 ปีที่แล้ว +5

      lol same problem

    • @meow1990_2
      @meow1990_2 4 ปีที่แล้ว +8

      Good thing tuition is free here in Denmark 😀

    • @Yomama4536
      @Yomama4536 4 ปีที่แล้ว +2

      @@meow1990_2 Det er derfor, du er her istedet for til forelæsning ;)

  • @joaojulio435
    @joaojulio435 3 ปีที่แล้ว

    I have to thank you a lot, because you don't explain concepts like they are black boxes or black and white stuff.
    You a real professor, thank you again!

  • @kstiss
    @kstiss 3 ปีที่แล้ว

    I have never had autocorrelation explained so clearly. this is a really good video. thank you

  • @nurulisfahani108
    @nurulisfahani108 4 ปีที่แล้ว

    From the video, I learn what is autocorrelation. It is also show how to test autocorrelation by using two method which is Durbin Watson Test and Breusch Godfrey Test. The video also taught me how to detect remedies and solve it. Thank you for sharing the video.

  • @liaalia789
    @liaalia789 4 ปีที่แล้ว +2

    This video explained about what the autocorrelation is, the regression effect of autocorrelation. There are two diagnosis test can be done to detect autocorrelation which is Durbin-Watson test and Breusch-Godfrey test. This video also share the remedies for autocorrelation problem. Thank you for this great explanation video

  • @fatinhanani9423
    @fatinhanani9423 4 ปีที่แล้ว +1

    I like this video. The way you explain about the durbin watson test and the scale is so clear. you also show us where to find the value from the table. Thank you so much. It helps me a lot.

  • @rasyimahramli5b125
    @rasyimahramli5b125 4 ปีที่แล้ว

    I glad that I watch this video. Now I know
    1) What is autocorrelation
    2) What make autocorrelation occur
    3) How it effect regression
    4) How to dignose
    5) Remedies
    Thank you so much

  • @ahmadsafwan5801
    @ahmadsafwan5801 4 ปีที่แล้ว +1

    This video really make me understand the auto-correlation from the definition, the regression impact, the two diagnosis until what is remedies in this auto-correlation.
    Really usefull. Thank you

  • @khassimmagala846
    @khassimmagala846 2 ปีที่แล้ว +1

    Your the best online teacher have ever met online. I loved the way you tought autocorrelation. Have tried to look for a nother video you promised about AR(1) but have failed. Would you please teach us how ARIMA is done and if possible show us how it can be done with Stata

  • @GigThemAggies
    @GigThemAggies 4 ปีที่แล้ว +2

    "Back to the show" LOL U are the best Zedstatistics, THANK YOU

  • @anisasyhikeen5448
    @anisasyhikeen5448 4 ปีที่แล้ว

    The video explained more about autocorrelation by using Durbin-Watson test and Breusch-Godfrey test. How to detect the problem and how to solve it by using the right formula. This video helps me alot on understanding autocorrelation.

  • @ismahnadhirah3756
    @ismahnadhirah3756 4 ปีที่แล้ว

    With your explaination, now i understand clearly about autocorrelation. I also learned about the regression effects of autocorrelation, the 2 diagnosis of autocorrelation which is Durbin Watson test and Breusch Godfrey test, and the remedies to solve the issues.

  • @albowen6
    @albowen6 2 ปีที่แล้ว

    I love your videos so much that I am watching for fun at 11:30pm. For fun. At night. Amazing!

  • @alifradzali6961
    @alifradzali6961 4 ปีที่แล้ว

    Once again, this person explain about the autocorrelation. The definition, impact, remedies explained very well. Thanks in advance

  • @alejandrovillalobos1678
    @alejandrovillalobos1678 3 ปีที่แล้ว

    i don't understand why people would dislike this kind of videos

  • @prajwalchauhan6440
    @prajwalchauhan6440 3 ปีที่แล้ว

    had a course on regression this semester but ended up studying from this channel.

  • @nasiryusof5778
    @nasiryusof5778 4 ปีที่แล้ว

    I finally get a clearly understand about autocorrelation and really love the way you explain about it. Thank you very much sir. It really help me a lot. Aramaiti bah ini.

  • @zeeshan5643
    @zeeshan5643 5 ปีที่แล้ว +1

    Why are you so awesome? Million thanks for simplifying concepts.

  • @sitinursyazwana5031
    @sitinursyazwana5031 4 ปีที่แล้ว

    I more understand about autocorrelation from this video. The way you explain is very easy to understand with the example.

  • @haziqahabdhamid8194
    @haziqahabdhamid8194 4 ปีที่แล้ว +1

    I finally get a clearly understand about autocorrelation and really love the way you explain about it. Thank you very much sir. It really help me a lot.

  • @rohitekka2674
    @rohitekka2674 3 ปีที่แล้ว +1

    This series should be a standard and must-watch for all the future students in my University :D
    Thanks a lot for this beautiful series!.

  • @nourmamyself1986
    @nourmamyself1986 3 ปีที่แล้ว

    You’re amazing. A natural educator. Thanks for the videos!

  • @fatinaliah7287
    @fatinaliah7287 4 ปีที่แล้ว

    This video give me more information such as the causes of autocorrelation and the remedies on how to solve the issue. Now I know what to use to test the autocorrelation. Thank you for the great sharing

  • @elabirecka904
    @elabirecka904 ปีที่แล้ว +2

    Your work is fantastic!! thank you. You explain things so clearly. well done xx

  • @farhaatalhatash8793
    @farhaatalhatash8793 4 ปีที่แล้ว +5

    You always make complex concepts super easy and so much fun! Thanks dude

    • @zedstatistics
      @zedstatistics  4 ปีที่แล้ว +8

      Fun is one of my middle names. Though the other is Narcolepsy.

    • @abeeraasim3904
      @abeeraasim3904 ปีที่แล้ว

      @@zedstatistics Big brains AND witty. Impressive!

  • @anastasia_wang17
    @anastasia_wang17 4 ปีที่แล้ว +37

    The whole point of college and paying all the tuition is, to know what to check out, on youtube....

    • @zedstatistics
      @zedstatistics  4 ปีที่แล้ว +19

      Tell your classmates to ditch their classes for a zstats watch party. Do inform the cops first though, as they can get rowdy.

    • @takudzwamarowa5941
      @takudzwamarowa5941 3 ปีที่แล้ว +1

      Oh my word

    • @takudzwamarowa5941
      @takudzwamarowa5941 3 ปีที่แล้ว +1

      Oh my word

  • @nurfatinsyuhada5593
    @nurfatinsyuhada5593 4 ปีที่แล้ว

    From the video, it clearly teach me about what the autocorrelation means by giving sample way to calculate it. It also shows me how to diagnos autocorrelation by durbin-watson test and breush- godfrey test and what the cause of it. And if there are some problem in the regression, we csn use remedies to fic the problem and also generalize different equation

  • @nurulnajihah9499
    @nurulnajihah9499 4 ปีที่แล้ว

    His explanations always one by one and its make me clear about autocorrelation..thank you

  • @nasrulakmal3791
    @nasrulakmal3791 4 ปีที่แล้ว

    This is about the autocorrelation . Its tell us about the meaning , the regression impact , diagnosis 1 and 2 and also the remedies . It very fun to learn with the map and colourful information . It will be the references to increase my knowledge in this topic . Thank you .

  • @yan7133
    @yan7133 4 ปีที่แล้ว

    The video is great as I easily understand about autocorrelation and impact on regression. There also have how to detect and solution to solve the problem. I really love it. Thank you so much.

  • @susannorton3589
    @susannorton3589 5 ปีที่แล้ว +2

    Thanks a bunch, have an exam in a matter of hours and this generally cleared up my difficulties.

  • @nurulamira8975
    @nurulamira8975 4 ปีที่แล้ว

    Based on this video, I got information that the Durbin Watson statistics is only looking at successive error terms since it only relates to the one before it. While the brush Godfrey get the error terms from the original regression. For overall, this video is super easy to understand . Thank you !

  • @Dekike2
    @Dekike2 5 ปีที่แล้ว +5

    Eiii!!! I was looking forward to watching new videos!!! First, congratulations on your way of teaching and for sharing your knowledge. We need more people like you in the world. Just tell you that I'm waiting for a video/s about Maximum Likelihood Estimations and Generalized Linear Regressions ;) ... You didn't make them, did you? You mentioned that you will do specific videos about that in the video "Regression 4" (Part C, 8:10). As you can see, I am closely (and enthusiastically) following your videos. :) Thanks again

    • @zedstatistics
      @zedstatistics  4 ปีที่แล้ว

      Check the series on statistical inference on my website. MLE covered in depth

  • @syazninajwa5b183
    @syazninajwa5b183 4 ปีที่แล้ว

    I become more understand about the auto correlation now.it's impact on regression and it is well explain on two different diagnosis.
    Thank you for this great video and expanation.

  • @farahnadiah2308
    @farahnadiah2308 4 ปีที่แล้ว

    In this video, autocorrelation measures the relationship between a variable of the current value and its past values. So the explanation is simple and easy for me to understant durbin's and use it in my assignment and to fix when there is a problem.

  • @nurulainnadhirah4379
    @nurulainnadhirah4379 4 ปีที่แล้ว

    Based on this video, I got more information such as the causes of autocorrelation, the remedies on how to solve the issue and what we should use to test the autocorrelation. Thank you for the good video.

  • @sitinurhidayusharin1892
    @sitinurhidayusharin1892 4 ปีที่แล้ว

    The explanation is very clear. I like how u explain it with the examples.. I hope this will really help me for tomorrow test. Thanks sir!

  • @sitinuraisyahmohdhawari9295
    @sitinuraisyahmohdhawari9295 4 ปีที่แล้ว

    I like the way you explained about auto-correlation, especially on the Durbin Watson test. I hope I can remember this for my test tomorrow. Thank you for this great video.😀

  • @dane2200
    @dane2200 3 ปีที่แล้ว

    learned more during my time watching your vids than being present to my lectures in econometrics at master level. Do any of you guys have a guide to these commands in stata just to get the softwear to do the work. This only helps with understanding the inputs and outputs

  • @atiqahzainuddin7267
    @atiqahzainuddin7267 4 ปีที่แล้ว

    I'm start to understand the concept of autocorrelation from the definition, impacts and remedies. Thanks in advance!

  • @aliyamarissa8425
    @aliyamarissa8425 5 ปีที่แล้ว +2

    thank you so much. I learned so much more in the span of half an hour than 4 hours of lectures in my uni T_T

  • @nisajamail7225
    @nisajamail7225 4 ปีที่แล้ว

    Thank you for the great video. I'm really understand and autocorrelation is the best topic anyway. Now, I am very aware on how to find Durbin Watson Test using the table. This video explained very details and thank you again.

  • @justshoby3374
    @justshoby3374 3 ปีที่แล้ว +2

    the intro song is the DAMN BEST song for learning statistics !

  • @arthvini02
    @arthvini02 ปีที่แล้ว +2

    Wonderful explanation, thanks!

  • @Sky-nr9pm
    @Sky-nr9pm 4 ปีที่แล้ว

    Great explanation about autocorrelation..it easy to me understand. Your explain with clearly. Thank you for sharing. It help me a lot.

  • @anatimahmud3823
    @anatimahmud3823 4 ปีที่แล้ว

    this video explains about the Durbin Watson test and breusch-godfrey test, how to solve the issues. it is easy to understand by the step by step explanation

  • @animeshshukla3534
    @animeshshukla3534 3 ปีที่แล้ว

    Sir, I just loved the way you explained. Extremely benovanlemt.👍👍👍

  • @nurfarishaizwanie2082
    @nurfarishaizwanie2082 4 ปีที่แล้ว

    this video make me clearly about autocorrelation. the explaination are detail and easy for me to understand slowly. more info that i get. thankyou

  • @anisafifahfarzana326
    @anisafifahfarzana326 4 ปีที่แล้ว

    By watching this video, now I know what is the common causes of autocorrelation, it's impact on regression and it is well explain on two different diagnosis.

  • @najihaazhar8634
    @najihaazhar8634 4 ปีที่แล้ว

    The video is really helpful as I know the concept and the explaination about the auto-correlation.

  • @shafeqahsaifullizan5a601
    @shafeqahsaifullizan5a601 4 ปีที่แล้ว

    Thank you for this knowledge. I understand it very well. About the causes to autocorrelation and the remedies on how to solve the issue. Using what we should test the autocorrelation and many more info i got from this video. Thanks again. 👍

  • @sundargayu2010
    @sundargayu2010 5 ปีที่แล้ว +4

    Wonderful explanation...I am closely following all your videos....Please enlighten us on econometric modelling concepts like panel data models, discrete choice models etc. if possible

  • @zinebbhr651
    @zinebbhr651 2 ปีที่แล้ว

    Thank you so much I wish I've discovered your videos before. Now I understand statistics 😊

  • @azrulamizan2127
    @azrulamizan2127 4 ปีที่แล้ว

    This video really make me understand the auto-correlation. Really usefull. Thank you

  • @NilupulEkanayake
    @NilupulEkanayake 5 ปีที่แล้ว +2

    thanks for the good video. I think, in the auto-correlations not only depend on time series data. it also depend on 'time dependent variables'. as you explained. (age)

  • @noorshahirasamsudin5713
    @noorshahirasamsudin5713 4 ปีที่แล้ว

    This video explain clearly about auto correlation, there have two diagnosis test that can be done to detect autocorrelation which is Durbin Watson and Breusch-Godfrey test.

  • @nurqamarinaanuar352
    @nurqamarinaanuar352 4 ปีที่แล้ว

    Woww how he explain is so good since I understand it. How he pronounced and he arranged his vid are clear and neat. Tq

  • @abdulhadi5b263
    @abdulhadi5b263 4 ปีที่แล้ว

    Based on this vid, i know how to defined autocorrelation.. thenn i know their impact, remedies and the explainer explained very well.

  • @muhammad-dc4hm
    @muhammad-dc4hm 4 ปีที่แล้ว

    Durbin watson test is one of the test to measure the autocorrelation to observe the error term.

  • @dianaelysha4524
    @dianaelysha4524 4 ปีที่แล้ว

    From this video I clearly understand now especially when he explain the cause and the way to overcome the cause. As well as the explanation regarding the Durbin-Watson test and also Breusch-Godfrey Test, about the calculation and how to suit with the formula. Oh I'm so love it 😍 Thank youuu so much👍🏻

  • @fatinnabilahhassan3927
    @fatinnabilahhassan3927 4 ปีที่แล้ว

    There are two causes, omitted relevant variables and incorrect functional form. They also explain about diagnosis named Durbin Watson Test (DW). After we can get the DW, we can find the scale of DW Statistic to know what range the DW is at. Whether significantly positively correlated, uncorrelated, or significantly negatively crorelated.

  • @erikapesantezcabrera3969
    @erikapesantezcabrera3969 ปีที่แล้ว

    Awesome video, thanks. Could you make a video about what happens when dealing with a time series that has low autocorrelation?

  • @nurizzatiahmadshukri6923
    @nurizzatiahmadshukri6923 4 ปีที่แล้ว

    This video basically explain about the autocorrelation and there's two method which Durbin-Watson test and Breusch-Godfrey test to test whether there is autocorrelation problem or not

  • @nurulhusna3593
    @nurulhusna3593 4 ปีที่แล้ว

    Now I more understand about auto correlation. Thank you

  • @anonymousalligator7500
    @anonymousalligator7500 2 ปีที่แล้ว

    Great vid! :D The examples that you provide are always so illustrative!

  • @nathan__5194
    @nathan__5194 4 ปีที่แล้ว

    ''That curly e'' is pronounced Epsilon (= εψιλον) and its Greek
    Most books use the Greek letter σ for the population's st.deviation and the English s for the sample's one. Just like ε that stands for population's error and e for the sample's.
    Endogenous on the other hand is not at all a synonyms to ''omitted''. ''Endo'' (Ενδο-) means Internal and Genous (Γενος or Γόνος) means created so endogenous stands for the interdependence between one variable and another while they are both calculated in the same function ! Thanks again for helping Zed. I provide the Greek support haha !

  • @amirulezuar9754
    @amirulezuar9754 4 ปีที่แล้ว

    I can understand autocorrelation on this. Thank you

  • @avazyusibov5342
    @avazyusibov5342 4 ปีที่แล้ว +1

    @zedstatistics thank you for easy and visual explanation. Can you please make videos on homogeneuity, robustness and control variable?

  • @bhumanyusingh6347
    @bhumanyusingh6347 2 ปีที่แล้ว

    Can we please have a time series video series. One that covers AR, MA, ARCH and GARCH models along with all the complexities of unit root, stationarity and other things that come with time series. There is no good content available for time series on internet at this point - atleast I haven't found anything

  • @nurasyikinsharif3387
    @nurasyikinsharif3387 4 ปีที่แล้ว

    From this video, it show clearly about autocorrelation or in other name serial correlation. There are two test which is DW & BG to see what the cause. And also we can know the solution.

  • @michalchik
    @michalchik 5 ปีที่แล้ว +1

    24:11
    Under the Breusch-Godfry test, what does the gamma symbol signify? Is it just a linear coefficient to the time series autocorrelation assigning it a weight? On a related note, this type of error equation seems to assume that the autocorrelation effects are linear. I assume this is done for sake of tractability but in theory, each autocorrelation term could be any sort of function of time and we are just using a linear approximation.

  • @niknoor4044
    @niknoor4044 2 ปีที่แล้ว

    Hi Zedstatistics. Great Video! Thank you. Quick question though. In the auxiliary function, why does the variable 'time', when explaining the predictor et, suggest an endogneity?

  • @chrisidema
    @chrisidema 2 ปีที่แล้ว

    Wouldn't FFT be useful in the case of the hormone level example? The error term seems very periodic. Picking the complex frequency with the highest amplitude and adding that as another regression variable would probably improve the fit.

  • @medusakardashian9584
    @medusakardashian9584 3 ปีที่แล้ว

    can you do a video on time series analysis and also drop the next survival analysis videos? If you had a Patreon and uploaded this stuff there more frequently I would definitely subscribe

  • @sandeepkosanam845
    @sandeepkosanam845 5 ปีที่แล้ว

    You are awesome Justin .. Thanks for contributing to us :)

  • @OskarBienko
    @OskarBienko 2 ปีที่แล้ว

    Hi Justin, the link in the description is not vaild anymore.

  • @victorlin7375
    @victorlin7375 5 ปีที่แล้ว +3

    Hi, I just have a question about the correct functional form, the part with weight = age regression.
    By squaring age are we not violating the assumption of no multi-collinearity?
    Thanks! Great video :)

    • @shivacr4299
      @shivacr4299 3 ปีที่แล้ว

      If we square age are we not violating the assumption of linearity..in that case the coefficients will be misleading right?

  • @seanmarthis4291
    @seanmarthis4291 3 ปีที่แล้ว

    So in the Durban-Watson test e2 minus e1 would equate to ek+1 minus ek from the example above?

  • @yulinliu850
    @yulinliu850 5 ปีที่แล้ว +2

    Excellent! Much appreciated!

  • @tatendamashonganyika9542
    @tatendamashonganyika9542 ปีที่แล้ว

    Can you do a video on Time series

  • @shivacr4299
    @shivacr4299 3 ปีที่แล้ว

    If we square age are we not violating the assumption of linearity??.in that case the coefficients will be misleading right?

  • @Julian-xe5is
    @Julian-xe5is 3 ปีที่แล้ว

    Isn't autocorrelation the correlation of a time series and a lagged version of itself? here you describe it as the residuals of a linear regression to a time series with a dependent vs independent variables. If anyone can confirm this that would be great, of course im just learning here and this video seems inconsistent to other videos and descriptions.

  • @chaytanyakumar8939
    @chaytanyakumar8939 2 ปีที่แล้ว

    Could you please share the references?

  • @MilanSmore
    @MilanSmore 4 ปีที่แล้ว

    8:20 would b2 be a negative number?

  • @korman9872
    @korman9872 2 ปีที่แล้ว +1

    tx sir

  • @jkmetaphormaster1754
    @jkmetaphormaster1754 5 ปีที่แล้ว +31

    By watching this video I just realize how useless my lecture is

    • @zedstatistics
      @zedstatistics  4 ปีที่แล้ว +18

      TH-cam: Making universities redundant since 2005.

  • @carbon273
    @carbon273 4 ปีที่แล้ว +1

    But what does Age^2 physically mean as an indicator?

    • @zedstatistics
      @zedstatistics  4 ปีที่แล้ว +1

      I love this question because it sounds like you are looking for the intuition. I'm like this too.
      Age^2 simply assists in the modelling of a quadratic relationship between age and the y variable.
      The co-efficient infront of the age^2 variable is not easily interpreted, but this doesn't stop the regression from running. The regression, ultimately doesn't care if it is interpretable or not.
      Given we are using LINEAR regression, we need to do something special to model a non-linear relationship (like a quadratic/logarithmic/inverse). SO! We square/log/invert the variable of interest and input that new variable LINEARLY into the model. Unfortunately that means we might need to do something special on the other side to interpret it.
      For a square relationship you need to plot it like a simple quadratic (with the linear age varible in there aswell). That's the best way of interpreting the coefficients and finding out what the relationship is between age and the y variable.

  • @zeze9062
    @zeze9062 2 ปีที่แล้ว

    thank you so much zed

  • @michaelnguyen7081
    @michaelnguyen7081 3 ปีที่แล้ว

    28:22 why is it an uncorrelated error term?

  • @hangwang5688
    @hangwang5688 2 ปีที่แล้ว

    Nice video!

  • @anaya1012
    @anaya1012 3 ปีที่แล้ว

    Thank you so much sir 🙏

  • @ainaida794
    @ainaida794 4 ปีที่แล้ว

    In this video, i learn about :
    1. what is autocorrelation
    2. Regession effects of auticorrelation
    3. 2 diagnosis of autocorrelaction
    4. The remedies

    • @krishnabarfiwala5766
      @krishnabarfiwala5766 4 ปีที่แล้ว

      i didnt understand how did he use the DB formula and got DB=1.312. how did he use the data?

  • @jongcheulkim7284
    @jongcheulkim7284 3 ปีที่แล้ว

    Thank you.

  • @hkrish26
    @hkrish26 4 ปีที่แล้ว

    Hi. Thanks for the videos. it helped me a lot. out of curiosity, what software are you using to presentation. thanks

  • @pwnisherino7414
    @pwnisherino7414 4 ปีที่แล้ว

    Thank you!

  • @GregThatcher
    @GregThatcher ปีที่แล้ว

    Thanks!