The Exact Distribution of R2 when the Regression Disturbances are Autocorrelated

Autor: Carrodus, Mark L., Giles, David E. A.
Jazyk: angličtina
Rok vydání: 1991
Předmět:
DOI: 10.22004/ag.econ.263073
Popis: This paper provides exact evaluations of the distribution of the usual coefficient of determination when the regression model's errors follow an AR(1) or MA(1) process. This provides insights into the extent to which this measure of goodness of fit is distorted by such model mis-specification.
Databáze: OpenAIRE
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