Publisher's Synopsis
Excerpt from Agricultural Economics Research, Vol. 35: July 1983
It is well known that regression coefficients are less efficient, but unbiased, when estimated in the presence of an autocorrelated error structure (18, p. Moreover, the multiple correlation coefficient increases in the presence of autoregressive residuals. As Bishop (5, p. 14) notes, Granger and Newbold have been particularly critical of reporting high R's under such circumstances.
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