Some Small Sample Properties of Durbin's Tests for Serial Correlation in Regression Models Containing Lagged Dependent Variables

DOI10.2307/1913945zbMath0291.62116OpenAlexW1979733874MaRDI QIDQ4042561

James L. Kenkel

Publication date: 1974

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1913945

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (4)

The small-sample power of Durbin's \(h\) test revisited ⋮ Finite-sample power of tests for autocorrelation in models containing lagged dependent variables ⋮ The application of the durbin-watson test to the dynamic regression model under normal and non-normal errors ⋮ Testing for autocorrelation in the presence of lagged dependent variables

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