Accession Number:

AD0707015

Title:

TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. III.

Descriptive Note:

Technical rept.,

Corporate Author:

JOHNS HOPKINS UNIV BALTIMORE MD DEPT OF STATISTICS

Personal Author(s):

Report Date:

1970-04-01

Pagination or Media Count:

43.0

Abstract:

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

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE