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ERIC Number: EJ896132
Record Type: Journal
Publication Date: 2010
Pages: 25
Abstractor: As Provided
Reference Count: 55
ISBN: N/A
ISSN: ISSN-0211-2159
Lag-One Autocorrelation in Short Series: Estimation and Hypotheses Testing
Solanas, Antonio; Manolov, Rumen; Sierra, Vicenta
Psicologica: International Journal of Methodology and Experimental Psychology, v31 n2 p357-381 2010
In the first part of the study, nine estimators of the first-order autoregressive parameter are reviewed and a new estimator is proposed. The relationships and discrepancies between the estimators are discussed in order to achieve a clear differentiation. In the second part of the study, the precision in the estimation of autocorrelation is studied. The performance of the ten lag-one autocorrelation estimators is compared in terms of Mean Square Error (combining bias and variance) using data series generated by Monte Carlo simulation. The results show that there is not a single optimal estimator for all conditions, suggesting that the estimator ought to be chosen according to sample size and to the information available on the possible direction of the serial dependence. Additionally, the probability of labelling an actually existing autocorrelation as statistically significant is explored using Monte Carlo sampling. The power estimates obtained are quite similar among the tests associated with the different estimators. These estimates evidence the small probability of detecting autocorrelation in series with less than 20 measurement times. (Contains 2 figures and 7 tables.)
University of Valencia. Dept. Metodologia, Facultad de Psicologia, Avda. Blasco Ibanez 21, 46010 Valencia, Spain. Tel: +34-96-386-4100; Web site: http://www.uv.es/revispsi/
Publication Type: Journal Articles; Reports - Research
Education Level: N/A
Audience: N/A
Language: English
Sponsor: N/A
Authoring Institution: N/A