The Durbin-Watson ratio under infinite-variance errors

DOI10.1016/0304-4076(91)90079-SMaRDI QIDQ756340zbMATH OpenOpenAlexFDO

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)

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• Locally robust tests for serial correlation in least squares regression
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• 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
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• 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

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