Testing for autocorrelation in the autoregressive moving average error model
نویسندگان
چکیده
منابع مشابه
Testing for Autocorrelation in the Autoregressive Moving Average Error Model
Failure to allow for autocorrelation of the disturbances in a regression model can lead to biased and inconsistent parameter estimates, particularly if the model is autoregressive. While consistent estimation methods are available which allow for autocorrelation, estimation is usually much easier when there is some assurance that autocorrelation is absent. In pursuit of such assurance the prese...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 1973
ISSN: 0304-4076
DOI: 10.1016/0304-4076(73)90022-5