Question: [AR(p) Score Test] Consider the pth-order autoregressive model with the conditional log-likelihood function (25.8) and the null hypothesis of no serial correlation, 0. Show that

[AR(p) Score Test] Consider the pth-order autoregressive model with the conditional log-likelihood function (25.8) and the null hypothesis of no serial correlation, 0. Show that one score test statistic is equal to the sample size times the R from a regression of , on-1,

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