The application of the durbin-watson test to the dynamic regression model under normal and non-normal errors

DOI10.1080/07474939508800333zbMATH Open0844.62055OpenAlexW2069931199MaRDI QIDQ4860432FDOQ4860432

Authors: Maxwell L. King, David Harris 

Publication date: 8 August 1996

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/267759/files/monash-195.pdf

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zbMATH Keywords

lagged dependent variablesDurbin-Watson testdynamic linear regression modelsmall-disturbance asymptoticsaccurate critical valuesDurbin's testsmodified point optimal test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Cites Work

• A Probability Distribution and Its Uses in Fitting Data
• An approximate method for generating asymmetric random variables
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
• A point optimal test for autoregressive disturbances
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• Finite-sample power of tests for autocorrelation in models containing lagged dependent variables
• Some Small Sample Properties of Durbin's Tests for Serial Correlation in Regression Models Containing Lagged Dependent Variables
• On the Small-Sample Power of Durbin's h Test
• Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors
• An approximate method for generating symmetric random variables
• A New Test for Autocorrelation in the Disturbances of the Dynamic Linear Regression Model

Cited In (10)

• Title not available (Why is that?)
• Title not available (Why is that?)
• The Class of Models for Which the Durbin-Watson Test is Locally Optimal
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
• Ratio tests of a unit root
• Computing \(p\)-values for the generalized Durbin-Watson and other invariant test statistics
• The Durbin-Watson test and cross-sectional data
• The Durbin-Watson ratio under infinite-variance errors

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