The distribution of the Durbin-Watson statistic in integrated and near-integrated models

DOI10.1016/0304-4076(94)90090-6zbMath0800.62077OpenAlexW2009903446MaRDI QIDQ1318978

Koichi Maekawa, Hiroyuki Hisamatsu

Publication date: 12 April 1994

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90090-6

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Exact distribution theory in statistics (62E15) Statistical tables (62Q05)

Related Items (5)

Ratio tests of a unit root ⋮ Unnamed Item ⋮ Finite‐sample power of the Durbin–Watson test against fractionally integrated disturbances ⋮ On the power of durbin-watson statistic against fractionally integrated processes ⋮ Finite sample comparisons of the distributions of the ols and gls estimators in regression with an integrated regsorad correlated errors

Cites Work

• Limiting power of unit-root tests in time-series regression
• The calculation of the limiting distribution of the least squares estimator of the parameter in a random walk model
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• Testing for Unit Roots: 2
• Towards a unified asymptotic theory for autoregression
• The Parameter Inference for Nearly Nonstationary Time Series
• Testing For Unit Roots: 1
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Stability Theory for the Damped Sine-Gordon Equation
• Inversion Formulae for the Distribution of Ratios
• Unnamed Item

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