The exact distribution of \(R^ 2\) when the regression disturbances are autocorrelated

DOI10.1016/0165-1765(92)90021-PzbMath0751.62005MaRDI QIDQ1194714

Mark L. Carrodus, David E. A. Giles

Publication date: 5 October 1992

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

misspecificationAR(1) errorsMA(1) errors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15)

Uses Software

• AS 155

Cites Work

• Mean and variance of \(R^ 2\) in small and moderate samples
• SERIAL CORRELATION IN REGRESSION ANALYSIS. I
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Specification of the Disturbance for Efficient Estimation--An Extended Analysis
• New Estimators of Disturbances in Regression Analysis
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

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