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 ...

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 ...

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