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

DOI10.1016/0165-1765(91)90052-MMaRDI QIDQ806901zbMATH OpenFDO

Authors David E. Giles, John P. Small

Publication date 1991

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(91)90052-M

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

Describes a project that uses

Uses Software

• AS 155
• SHAZAM

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