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

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

Authors David E. Giles, John P. Small 

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

• scientific article; zbMATH DE number 3466355 (Why is no real title available?)
• scientific article; zbMATH DE number 4128271 (Why is no real title available?)
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Computing the distribution of quadratic forms in normal variables
• New Estimators of Disturbances in Regression Analysis
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
• The Power of the Durbin-Watson Test
• 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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