The Class of Models for Which the Durbin-Watson Test is Locally Optimal

DOI10.2307/2526816MaRDI QIDQ3805699zbMATH OpenOpenAlexFDO

Authors Takeaki Kariya

Publication date 1988

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2526816

zbMATH Keywords

Durbin-Watson test statisticlocally best invariantmultivariate Cauchy distributionmultivariate t-distributionnormal distributionresidual vector

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(7)

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• The Durbin-Watson test and cross-sectional data
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• Power properties of invariant tests for spatial autocorrelation in linear regression
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• The Durbin-Watson ratio under infinite-variance errors

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