Advances and Applications in Statistics
Volume 3, Issue 2, Pages 105 - 133
(August 2003)
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ON THE SPECIFICATION OF ERROR STRUCTURE IN THE LINEAR REGRESSION MODEL
Kuldeep Kumar (Australia) and Mukesh Srivastava (India)
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Abstract: The
assumption regarding the independence of
errors in the linear regression model may not
be valid quite often. In this paper, we have
discussed a new method based on the theory of
Padé approximation for the specification of
the error structure which may follow an ARMA (p,
q) model. We have also discussed the
consequences of the error and reviewed the
existing methods for the specification of the
error. Using simulation studies we have shown
that this method works well for the
specification of the error structure. |
Keywords and phrases: Padé approximation, C-table, ARMA models, Durbin-Watson test. |
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