The assumption regarding the independence of errors in the linear regression model may not be valid quite often. In this paper, we have discussed a new method based on the theory of Pade approximation for the specification of the error structure which may follow an ARMA (p, q) model. We have also discussed the consequences of the error and reviewed the existing methods for the specification of the error. Using simulation studies we have shown that this method works well for the specification of the error structure.
|Number of pages||29|
|Journal||Advances and applications in statistics|
|Publication status||Published - 2003|
Kumar, K., & Srivastava, M. (2003). On the specification of error structure in the linear regression model. Advances and applications in statistics, 3(2), 105-133. http://www.pphmj.com/abstract/165.htm