A Sampling Study of the Merits of Auto-Regressive and Reduced form Transformations in Regression Analysis
回归分析中自回归变换与简约式变换的抽样研究
This paper is concerned with some aspects of regression analysis when the error terms are autocorrelated and there exists more than one relationship between the variables. In particular, we investigate the merits of autoregressive transformations and the reduced form transformation in dealing with these complications. An important result is that, unless it is possible to specify something about the intercorrelation of the error terms in a set of relations and to choose…