The power of the Durbin-Watson test when the errors are heteroscedastic

DOI10.1016/0165-1765(91)90052-MzbMATH Open0729.62534MaRDI QIDQ806901FDOQ806901

John P. Small, David E. Giles

Publication date: 1991

Published in: Economics Letters (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Cites Work

• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Computing the distribution of quadratic forms in normal variables
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
• The Power of the Durbin-Watson Test
• New Estimators of Disturbances in Regression Analysis
• Title not available (Why is that?)
• Title not available (Why is that?)
• The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity when Both Problems Are Present

Cited In (1)

• The exact powers of some autocorrelation tests when the disturbances are heteroscedastic

Uses Software

• SHAZAM
• AS 155

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