The distribution of the Durbin-Watson statistic in integrated and near-integrated models

DOI10.1016/0304-4076(94)90090-6zbMath0800.62077MaRDI QIDQ1318978

Koichi Maekawa, Hiroyuki Hisamatsu

Publication date: 12 April 1994

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90090-6

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

62E20: Asymptotic distribution theory in statistics

62E15: Exact distribution theory in statistics

62Q05: Statistical tables

Related Items

Ratio tests of a unit root, Finite‐sample power of the Durbin–Watson test against fractionally integrated disturbances, On the power of durbin-watson statistic against fractionally integrated processes, Finite sample comparisons of the distributions of the ols and gls estimators in regression with an integrated regsorad correlated errors

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