Testing The Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions
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This paper derives the asymptotic distribution for a vector of sample autocorrelations of regression residuals from a quite general linear model. The asymptotic distribution forms the basis for a test of the null hypothesis that the regression error follows a moving average of order q [greaterthan
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美国国家经济研究局创建时间：
1990-10-01
