Autocorrelation of the residuals may affect the reliability of the t-values for the estimated coefficients of the predictors X1,X2,... ,Xk.

Question

Quizplus · Accepted Answer

Autocorrelation of the residuals violates the assumption of independently and identically distributed errors. As a result, the standard errors of the estimated coefficients may not be accurate, which affects the t-values and can lead to incorrect conclusions about the significance of the predictors.

Autocorrelation of the Residuals May Affect the Reliability of the T-Values