Serial Correlation and Serial Dependence

Serial Correlation and Serial Dependence
Yongmiao Hong, 2006, WISE Working Paper

ABSTRACT
Serial correlation and serial dependence has been central to time series econometrics. Theexistence of serial correlation complicates statistical inference of econometric models, and in timeseries analysis, inference of serial correlation, or more generally, serial dependence, is crucial tomodel and capture the dynamics of time series processes. In this entry, we …rst discuss theimpact of serial correlation on statistical inference of a linear regression model. In Section 2,we introduce various tests for serial correlation, for both estimated residuals and observed rawdata, and discuss their relationship. Section 3 discusses serial dependence in nonlinear time seriescontexts, and related measures and tests for serial dependence.

This paper provides an excellent overview of the tests proposed for the testing of serial correlation and independence. See the paper at:
Serial Correlation and Serial Dependence