The twelfth order analogue of the durbin-watson test |
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Authors: | Merran A Evans |
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Institution: | Monash University , Clayton, 3168, Australia |
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Abstract: | This paper provides five percent significance bounds on critical values of the twelfth or-der analogue of the Durbin-Watsontest. These tables are useful for testing for twelfth order autocorrelation in regression models with monthly data which include either an intercept or a full set of monthly seasonal dummies. |
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Keywords: | hypothesis testing linear regression autocorrelation |
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