The application of the durbin-watson test to the dynamic regression model under normal and non-normal errors

DOI10.1080/07474939508800333zbMath0844.62055OpenAlexW2069931199MaRDI QIDQ4860432

David C. Harris, Maxwell L. King

Publication date: 8 August 1996

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/267759/files/monash-195.pdf

zbMATH Keywords

lagged dependent variablesDurbin-Watson testdynamic linear regression modelsmall-disturbance asymptoticsaccurate critical valuesDurbin's testsmodified point optimal test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Related Items (1)

Ratio tests of a unit root

Cites Work

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• Finite-sample power of tests for autocorrelation in models containing lagged dependent variables
• A point optimal test for autoregressive disturbances
• A New Test for Autocorrelation in the Disturbances of the Dynamic Linear Regression Model
• Some Small Sample Properties of Durbin's Tests for Serial Correlation in Regression Models Containing Lagged Dependent Variables
• On the Small-Sample Power of Durbin's h Test
• Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors
• A Probability Distribution and Its Uses in Fitting Data
• An approximate method for generating asymmetric random variables
• An approximate method for generating symmetric random variables
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

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