Effects of correlated disturbances of some regression problems |
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Authors: | Yoshikazu Takada |
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Institution: | Department of Mathematics,Faculty of Science , Kumamoto University , Kumamoto, 860, Japan |
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Abstract: | In a linear regression model the disturbances are assumed to be independently distributed. If the correlation among the disturbances exists, then the usual F statistics have not the F distribution and the distributions depend on the regressor variables. This paper gives bounds on the F statistics, whose distributions do not depends on the regressor variables. The bounds are applied to a test on a general linear hypothesis of the regression coefficients and to evaluate the confidence level of a prediction set. |
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Keywords: | Linear regression Correlated disturbances F statistic Bounds test Prediction set |
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