Robustness to nonnormality of the Durbin-Watson test for autocorrelation

DOI10.1016/0304-4076(93)90061-9zbMATH Open0775.62167OpenAlexW2063020837MaRDI QIDQ1801413FDOQ1801413

Authors: Mukhtar M. Ali, S. C. Sharma 

Publication date: 18 July 1993

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

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90061-9

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

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• On typical characteristics of economic time series and the relative qualities of five autocorrelation tests

Cited In (2)

• Dynamic pricing using flexible heterogeneous sales response models
• A nonparametric test for deviation from randomness with applications to stock market index data

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