The Durbin-Watson ratio under infinite-variance errors

DOI10.1016/0304-4076(91)90079-SzbMath0722.62059OpenAlexW1979681527MaRDI QIDQ756340

Peter C. B. Phillips, Mico Loretan

Publication date: 1991

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

Full work available at URL: https://doi.org/10.1016/0304-4076(91)90079-s

zbMATH Keywords

time seriesMonte Carlo resultsinfinite variancelimit distributionLagrange multiplier testdynamic modelsDurbin-Watson statisticRegression residualsDurbin h-statisticfinite-variance modelsgeneral moving-average alternativesLM test asymptoticsstatic regression modelvon Neumann ratio

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

TESTING FOR LINEAR DEPENDENCE IN HEAVY-TAILED DATA ⋮ The Variance Ratio Test with Stable Paretian Errors ⋮ Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE ⋮ Editors' introduction: Heavy tails and stable Paretian distributions in econometrics ⋮ On the properties of the coefficient of determination in regression models with infinite variance variables ⋮ Precise tabulation of the maximally-skewed stable distributions and densities ⋮ Moment condition tests for heavy tailed time series ⋮ Testing for (in)finite moments ⋮ Statistical inference in regression with heavy-tailed integrated variables

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