Watson (1955) investigated the performance of a regression analysis based on the assumption that the error covariance matrix is σ2γ when it is, in fact, σ2α. In ...

The adjusted r-squared is helpful for multiple regression and corrects for erroneous regression, giving you a more accurate ...

Formulas are derived for computing asymptotic covariance matrices of sets of impulse responses, step responses, or variance decompositions of estimated dynamic simultaneous-equations models in vector ...