White Noise Testing--
I have a series that looks stationary after first-differenced. For the white noise tests, specifically, for Bartlett's test, do I apply it to the regression residuals' autocorrelations or the series' sample autocorrelations? And what if the three tests (DW, BP's Q, and Bartlett's) give conflicting information? Right now I have DW saying white noise and the other two saying not white noise.
Thanks.
Jacob:
Does it make sense for the Durbin-Watson statistic to indicate white noise and the other two tests (Bartlett’s test and the Box-Pierce Q statistic) to indicate not white noise?
Rachel: These are statistical tests. They give confidence intervals, not absolute answers. The Box-Pierce Q statistic and Bartlett’s test are more strict; they are less likely to suggest that the residuals are white noise.