Figure 1.
The line chart presents rejection frequency on the y-axis against beta on the x-axis for 3 statistical methods, F G L S, O L S, and Durbin. The F G L S curve begins at the highest rejection frequency near 0.58 at beta 0, decreases sharply to approximately 0.05 around beta 1, and then rises again to about 0.41 at beta 2. The O L S and Durbin curves show lower rejection frequencies throughout, both declining towards beta 1 before increasing gradually at higher beta values. The chart demonstrates a U-shaped trend for all methods, with F G L S exhibiting the greatest variation and highest rejection frequency overall.Empirical Rejection Frequencies Of Nominal 5% t-Test of . Fama regression, RE case with MA(3) errors