Computing \(p\)-values for the generalized Durbin-Watson and other invariant test statistics

DOI10.1016/0304-4076(92)90109-5zbMath0756.62031OpenAlexW2081733469MaRDI QIDQ1203091

Robert Kohn, Thomas S. Shively, Craig F. Ansley

Publication date: 4 February 1993

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(92)90109-5

zbMATH Keywords

quadratic formcharacteristic functiontruncation errors\(p\)-valuestime series regression\(O(n)\) algorithmDurbin-Watson statisticsinvariant test statistics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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Uses Software

• EISPACK
• AS 256
• AS 155
• AS 153

Cites Work

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• A fast algorithm for signal extraction, influence and cross-validation in state space models
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Algorithm AS 153: Pan's Procedure for the Tail Probabilities of the Durbin-Watson Statistic
• A Note on Wallis' Bounds Test and Negative Autocorrelation
• Testing for Fourth Order Autocorrelation in Quarterly Regression Equations
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