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Bartell C. Jensen, James B. McDonald, A Pedagogical Example of Heteroskedasticity and Autocorrelation, The American Statistician, Vol. 30, No. 4 (Nov., 1976), pp. 192-193 ...
The small sample critical values of three test statistics for vector autocorrelated errors are investigated in the context of several specific empirical models. Under the null hypothesis, two of the ...
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