Computing \(p\)-values for the generalized Durbin-Watson and other invariant test statistics

DOI10.1016/0304-4076(92)90109-5zbMath0756.62031MaRDI QIDQ1203091

Robert Kohn, Thomas S. Shively, Craig F. Ansley

Publication date: 4 February 1993

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

Full work available at URL: https://doi.org/10.1016/0304-4076(92)90109-5

zbMATH Keywords

quadratic form; characteristic function; truncation errors; \(p\)-values; time series regression; \(O(n)\) algorithm; Durbin-Watson statistics; invariant test statistics

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

65C99: Probabilistic methods, stochastic differential equations

Related Items

IMPROVING THE NUMERICAL TECHNIQUE FOR COMPUTING THE ACCUMULATED DISTRIBUTION OF A QUADRATIC FORM IN NORMAL VARIABLES, Ratio tests of a unit root, Bootstrap tests for autocorrelation., Testing for autoregressive disturbances in a time series regression with missing observations

Uses Software

• EISPACK
• AS 256
• AS 155
• AS 153

Cites Work

• Robust tests for spherical symmetry and their application to least squares regression
• The alternative Durbin-Watson test. An assessment of Durbin and Watson's choice of test statistic
• Matrix eigensystem routines - EISPACK guide. 2nd ed
• Algorithm AS 256: The Distribution of a Quadratic Form in Normal Variables
• Fast Evaluation of the Distribution of the Durbin-Watson and Other Invariant Test Statistics in Time Series Regression
• A fast algorithm for signal extraction, influence and cross-validation in state space models
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Algorithm AS 153: Pan's Procedure for the Tail Probabilities of the Durbin-Watson Statistic
• A Note on Wallis' Bounds Test and Negative Autocorrelation
• Testing for Fourth Order Autocorrelation in Quarterly Regression Equations
• “Generalization of the durbin-watson statistic for higher order autoregressive processes
• Numerical inversion of a characteristic function
• Note on the inversion theorem
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