The polynomial trend model with autocorrelated residuals
- 1 January 1982
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 11 (12) , 1393-1402
- https://doi.org/10.1080/03610928208828316
Abstract
The paper considers the fitting of polynomial trends to data when the residuals are autocorrelated. Although OLS is asymptotically efficient it can be quite inefficient in small samples. Hence it is suggested that a test for autocorrelation be carried out and to this end we present a table of exact critical values of the Durbin-Watson test for this model.Keywords
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