A Simple Test for Serial Correlation in Regression Analysis
作者： G. D. A. Phillips , A. C. Harvey
DOI: 10.1080/01621459.1974.10480231
关键词: Autocorrelation 、 White test 、 Normality test 、 Breusch–Godfrey test 、 Exact test 、 Goldfeld–Quandt test 、 Mathematics 、 Score test 、 Regression analysis 、 Algorithm
摘要: Abstract An exact test for serial correlation in regression models is proposed based on the fact that under classical assumptions and including normality disturbances, successive quantities are independent N(0, σ2). For various types of data power compares favorably with BLUS test, but neither as powerful full Durbin-Watson procedure which an approximate significance point calculated when bounds inconclusive. However, simplicity makes it attractive a practical procedure.
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