Robustness to nonnormality of the Durbin-Watson test for autocorrelation

DOI10.1016/0304-4076(93)90061-9zbMath0775.62167OpenAlexW2063020837MaRDI QIDQ1801413

Mukhtar M. Ali, Subhash C. Sharma

Publication date: 18 July 1993

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

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90061-9

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (1)

A Nonparametric Test for Deviation from Randomness with Applications to Stock Market Index Data

Cites Work

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• CRITICAL VALUE APPROXIMATIONS FOR TESTS OF LINEAR REGRESSION DISTURBANCES
• The Robustness Properties of Two Tests for Serial Correlation
• Robustness to non-normality of regression tests
• Low Moments for Small Samples: A Comparative Study of Order Statistics
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

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