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A Note on the Effect of Autocorrelation on Multiple Regression Statistics
Author(s) -
Praetz Peter
Publication year - 1981
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1981.tb00793.x
Subject(s) - autocorrelation , statistics , econometrics , linear regression , regression analysis , regression , mathematics
Summary This note discusses the effect of autocorrelated distrubances when they are not modelled on the statistics used in drawing inferences in the multiple linear regression model. It derives biases for the F and R 2 statistics and evaluates them numerically for an example. The note concludes with a few brief reflections for empirical research on the causes, detection and treatment of autocorrelation.