The Durbin-Watson ratio under infinite-variance errors (Q756340)
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scientific article; zbMATH DE number 4190959
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| English | The Durbin-Watson ratio under infinite-variance errors |
scientific article; zbMATH DE number 4190959 |
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The Durbin-Watson ratio under infinite-variance errors (English)
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1991
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Lagrange multiplier test
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von Neumann ratio
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time series
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infinite variance
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general moving-average alternatives
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Regression residuals
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static regression model
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Durbin-Watson statistic
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limit distribution
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dynamic models
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finite-variance models
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Durbin h-statistic
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LM test asymptotics
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Monte Carlo results
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0.8193711638450623
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0.7760846614837646
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0.7754006385803223
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0.7705145478248596
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