Sir, I am using the 'autocorr' function of the econometrics toolbox and one of the example shows the following:
[ACF,lags,bounds] = autocorr(y,[],2); bounds bounds =
0.0843 -0.0843 bounds displays (-0.0843, 0.0843), which are the upper and lower confidence bounds.
I would like to know which confidence intervals are being shown by this? In general we use the Anderson correleogram test to determine the significance of the correlation values, are these bounds linked to this test in anyway?
Best Answer