Tests for fourth order autoregressive processes.
Foster, Robert L. Jr.
Boger, Dan C.
Barr, Donald R.
MetadataShow full item record
Upper and lower bounds were determined for a variation of Schmidt's statistic using Imhoff's distribution for quadratic forms in normal variables. This statistic is able to detect a fourth order autoregressive disturbance of the form: Ɛ(ʈ)=ƿ(1)Ɛ(ʈ-1)+ƿ(4)Ɛ(ʈ-4)+ƞ(ʈ) in the general model Y=Xβ+Ɛ. To correct for this disturbance and thus yield efficient regression estimates, a data transformation was derived using the inverse of the variance-covariance matrix as defined by Siddiqui.
RightsThis publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.