A Note on the Effect of Autocorrelation on Multiple Regression Statistics |
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| Authors: | Peter Praetz |
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| Institution: | Department of Econometrics and Operations Research, Monash University |
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| Abstract: | 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 R2 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. |
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