ASYMPTOTIC THEORY FOR THE DURBIN–WATSON STATISTIC UNDER LONG-MEMORY DEPENDENCE

DOI10.1017/S0266466699156044MaRDI QIDQ4512675zbMATH OpenOpenAlexFDO

Authors Shisei Nakamura, Masanobu Taniguchi

Publication date 5 June 2001

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466699156044

zbMATH Keywords

Durbin-Watsonshort memorytime series regression

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(13)

• Computing \(p\)-values for the generalized Durbin-Watson and other invariant test statistics
• On the asymptotic behavior of the Durbin-Watson statistic for ARX processes in adaptive tracking
• Finite‐sample power of the Durbin–Watson test against fractionally integrated disturbances
• Fast Evaluation of the Distribution of the Durbin-Watson and Other Invariant Test Statistics in Time Series Regression
• Approximating the distribution of the durbin-watson statistic
• The Class of Models for Which the Durbin-Watson Test is Locally Optimal
• scientific article; zbMATH DE number 4090573 (Why is no real title available?)
• Further results on the h-test of Durbin for stable autoregressive processes
• On the power of durbin-watson statistic against fractionally integrated processes
• scientific article; zbMATH DE number 2104326 (Why is no real title available?)
• The application of the durbin-watson test to the dynamic regression model under normal and non-normal errors
• A sharp analysis on the asymptotic behavior of the Durbin–Watson statistic for the first-order autoregressive process
• The Durbin-Watson ratio under infinite-variance errors

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