TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. III.
JOHNS HOPKINS UNIV BALTIMORE MD DEPT OF STATISTICS
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Long ago in the desk computer days, the authors suggested, as a test statistic for serial correlation in the errors u of the regression model, y Xbetau d Summation Z sub t - Z sub t-1 squaredSummation Z sub t - Z bar squared. Tables of bounding significance points d sub L and d sub U were provided and a Beta approximation suggested to resolve the inconclusive result, d sub Ld sub obsd.d sub U. A large literature has grown up other statistics, with distributions not depending on X, and approximate d distributions have been suggested. It is shown here that d has power advantages over its competitors and that, with modern computers, there is no problem in finding the significance points of d - in fact, the original Beta method is quite satisfactory. In an appendix the basic distribution theory of ratios of quadratic forms is given. Author
- Statistics and Probability