On choosing the optimal level of significance for the Durbin-Watson test and the Bayesian alternative

DOI10.1016/0304-4076(78)90029-5zbMath0394.62065OpenAlexW1976277514MaRDI QIDQ1252690

David K. Guilkey, Thomas B. Fomby

Publication date: 1978

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

Full work available at URL: https://doi.org/10.1016/0304-4076(78)90029-5

zbMATH Keywords

Baysian AlternativeDurbin Watson TestMonte Carlo ExperimentsMseOptimal Level of Significance

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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Cites Work

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• Minimax Regret Significance Points for a Preliminary Test in Regression Analysis
• Bayesian Analysis of the Regression Model With Autocorrelated Errors
• Simultaneous minimization of the error probabilities in a statistical test: An economic example
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

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