The Exact Distribution of R2 when the Regression Disturbances are Autocorrelated

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.


Issue Date:
Oct 10 1991
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
14
Series Statement:
9113




 Record created 2017-09-13, last modified 2017-09-13

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