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Tag Archives: autoregressive model
$$F$$-test statistic in autoregressive models
Under the framework of the classical linear regression model, the ordinary least squares (OLS) estimator has good properties: it is unbiased, has minimum variance compared to other linear estimators and the usual test statistics follow common distributions. An autoregressive model … Continue reading
Posted in regression model, simulations, time series
Tagged autoregressive model, bootstrap, F-test
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