Effects of ARMA Errors on the Significance Tests for Regression Coefficients
ARMA 误差对回归系数显著性检验的影响
It Is well known that nonindependent errors arising from autoregressive (AR) or moving average (MA) processes may reverse the conclusions of t or F tests for estimable functions of regression coefficients. We show that these conclusions can be reversed only if observed t or F values based on ordinary least squares (OLS) computations lie between certain lower and upper bounds. Our tabulations of these bounds are based on the Imhof [5] distribution of a ratio of quadratic…