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References in periodicals archive ?
Pooling all respondents gives a highly significant negative first-order autocorrelation coefficient and a second-order coefficient that is not significantly different from zero at the 5 per cent level.
In the pooled, average and individual results for point forecast revisions and density forecast mean revisions any significant first-order autocorrelation is negative, except for a significant positive first-order autocorrelation coefficient in the survey average density forecast mean revisions, which is at variance with the model.
As we can see, the model does not do too badly for the autocorrelation structure of inflation: the first-order autocorrelation coefficient of inflation is just outside the 5th to 95th percentile range, but then the autocorrelation coefficients are declining too fast relative to the data.
Both measures of the first difference in premiums have a significant first-order autocorrelation coefficient and significant first- and second-order partial autocorrelation coefficients.
In addition, these variables present very high first-order autocorrelation coefficients (above 95%).