The Class of Models for Which the Durbin-Watson Test is Locally Optimal
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Publication:3805699
DOI10.2307/2526816zbMath0657.62108OpenAlexW2044931078MaRDI QIDQ3805699
Publication date: 1988
Published in: International Economic Review (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2526816
normal distributionlocally best invariantmultivariate Cauchy distributionmultivariate t-distributionresidual vectorDurbin-Watson test statistic
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)
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