The Durbin-Watson ratio under infinite-variance errors

DOI10.1016/0304-4076(91)90079-SzbMATH Open0722.62059OpenAlexW1979681527MaRDI QIDQ756340FDOQ756340

Authors: Peter C. B. Phillips, Mico Loretan 

Publication date: 1991

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

Full work available at URL: https://doi.org/10.1016/0304-4076(91)90079-s

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• scientific article; zbMATH DE number 1917636

zbMATH Keywords

limit distributiontime seriesdynamic modelsinfinite varianceLagrange multiplier testMonte Carlo resultsDurbin-Watson statisticRegression residualsDurbin h-statisticfinite-variance modelsgeneral moving-average alternativesLM test asymptoticsstatic regression modelvon Neumann ratio

Mathematics Subject Classification ID

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

Cites Work

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• The Durbin-Watson Test for Serial Correlation when there is no Intercept in the Regression

Cited In (11)

• Statistical inference in regression with heavy-tailed integrated variables
• Fast Evaluation of the Distribution of the Durbin-Watson and Other Invariant Test Statistics in Time Series Regression
• The Variance Ratio Test with Stable Paretian Errors
• Moment condition tests for heavy tailed time series
• TESTING FOR LINEAR DEPENDENCE IN HEAVY-TAILED DATA
• Editors' introduction: Heavy tails and stable Paretian distributions in econometrics
• ASYMPTOTIC THEORY FOR THE DURBIN–WATSON STATISTIC UNDER LONG-MEMORY DEPENDENCE
• Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
• Testing for (in)finite moments
• On the properties of the coefficient of determination in regression models with infinite variance variables
• Precise tabulation of the maximally-skewed stable distributions and densities

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