Locally optimal properties of the Durbin-Watson test

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Abstract

Although originally designed to detect AR(1) disturbances in the linear-regression model, the Durbin-Watson test is known to have good power against other forms of disturbance behavior. In this paper, we identify disturbance processes involving any number of parameters against which the Durbin-Watson test is approximately locally best invariant uniformly in a range of directions from the null hypothesis. Examples include the sum of q independent ARMA(1,1) processes, certain spatial autocorrelation processes involving up to four parameters, and a stochastic cycle model.

Original languageEnglish
Pages (from-to)509-516
Number of pages8
JournalEconometric Theory
Volume4
Issue number3
DOIs
Publication statusPublished - Dec 1988

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