The Durbin-Watson ratio under infinite-variance errors

DOI10.1016/0304-4076(91)90079-SMaRDI QIDQ756340zbMATHOpenAlexFDO

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

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)

Recommendations

• ASYMPTOTIC THEORY FOR THE DURBIN–WATSON STATISTIC UNDER LONG-MEMORY DEPENDENCE
• UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
• The limiting power of the durbin-watson test
• The application of the durbin-watson test to the dynamic regression model under normal and non-normal errors
• scientific article; zbMATH DE number 1917636

Cites work

• scientific article; zbMATH DE number 3673420 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• scientific article; zbMATH DE number 3357848 (Why is no real title available?)
• A robustness property of the tests for serial correlation
• Autoregressive processes with infinite variance
• Convergence systems and strong consistency of least squares estimates in regression models
• Limit distributions of self-normalized sums
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• Limit theory for the sample covariance and correlation functions of moving averages
• Locally robust tests for serial correlation in least squares regression
• More limit theory for the sample correlation function of moving averages
• Operator-Stable Probability Distributions on Vector Groups
• Point processes, regular variation and weak convergence
• Regression and autoregression with infinite variance
• Robust Estimation of a Location Parameter
• Robust tests for spherical symmetry and their application to least squares regression
• The Class of Models for Which the Durbin-Watson Test is Locally Optimal
• The Durbin-Watson Test for Serial Correlation when there is no Intercept in the Regression
• Time series: theory and methods

Cited in

(11)

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

This page was built for publication: The Durbin-Watson ratio under infinite-variance errors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q756340)