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Approximate distributions of Student's t-statistics for autoregressive coefficients calculated from regression residuals

Published online by Cambridge University Press:  14 July 2016

J. Durbin
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Abstract

We consider a multiple regression model in which the regressors are Fourier cosine vectors. These regressors are intended as approximations to ‘slowly changing' regressors of the kind often found in time series regression applications. The errors in the model are assumed to be generated by a special type of autoregressive model defined so that the regressors are eigenvectors of the quadratic forms occurring in the exponent of the probability density of the errors. This autoregression is intended as an approximation to the usual stationary autoregression. Both approximations are adopted for the sake of mathematical convenience.

Student's t-statistics are constructed for the autoregressive coefficients in a manner analogous to ordinary regression. It is shown that these statistics are distributed as Student's t to the first order of approximation, that is with errors in the density of order T−1/2, where T is the sample size, while the squares of the statistics are distributed as the square of Student's t to the second order of approximation, that is with errors in the density of order Τ–1.

Keywords

AUTOREGRESSIONAUTOCORRELATIONPARTIAL AUTOCORRELATIONREGRESSION WITH AUTOCORRELATED ERRORSASYMPTOTIC EXPANSIONS
Type
Part 3—Hypothesis Testing and Distribution Theory for Time Series
Information
Journal of Applied Probability , Volume 23 , Issue A: Essays in Time Series and Allied Processes , 1986 , pp. 173 - 185
Copyright
Copyright © 1986 Applied Probability Trust 

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