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The exact distribution of R2 when the regression disturbances are autocorrelated

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  • Carrodus, Mark L.
  • Giles, David E. A.

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  • Carrodus, Mark L. & Giles, David E. A., 1992. "The exact distribution of R2 when the regression disturbances are autocorrelated," Economics Letters, Elsevier, vol. 38(4), pages 375-380, April.
    • Handle: RePEc:eee:ecolet:v:38:y:1992:i:4:p:375-380
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    Cited by:

    1. Delbianco, Fernando & Fioriti, Andrés & Hernandez-Chanto, Allan & Tohmé, Fernando, 2020. "A Markov-switching approach to the study of citations in academic journals," Journal of Informetrics, Elsevier, vol. 14(4).
    2. Michael D. Bauer & James D. Hamilton, 2018. "Robust Bond Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 399-448.
    3. Jorge M. Uribe, 2018. "“Scaling Down Downside Risk with Inter-Quantile Semivariances”," IREA Working Papers 201826, University of Barcelona, Research Institute of Applied Economics, revised Oct 2018.
    4. Ohtani, Kazuhiro, 2000. "Bootstrapping R2 and adjusted R2 in regression analysis," Economic Modelling, Elsevier, vol. 17(4), pages 473-483, December.

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