The Exact Distribution of R2 when the Regression Disturbances are Autocorrelated

Mark L. Carrodus and David E. A. Giles

No 263073, Department of Economics Discussion Papers from University of Canterbury - New Zealand

Abstract: 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.

Keywords: Agribusiness; Financial Economics (search for similar items in EconPapers)
Pages: 14
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Persistent link: https://EconPapers.repec.org/RePEc:ags:canzdp:263073

DOI: 10.22004/ag.econ.263073

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