20.7 testing for autocorrelation - NYU Stern
[See White (2001, p. 44) and Davidson and MacKinnon (1993, p. 133).] What we
have in the ergodic theorem is, ..... (20-24). where is the estimated variance of the
least squares regression coefficient on , to the standard normal tables. Large
values of lead to rejection of . The test has the virtues that it can be used even if
the ...