The locally unbiased two-sided Durbin-Watson test

Simone Grose; Maxwell L. King

doi:10.1016/0165-1765(91)90010-I

The locally unbiased two-sided Durbin-Watson test

Simone Grose, Maxwell L. King

Econometrics & Business Statistics

Research output: Contribution to journal › Article › Research › peer-review

5 Citations (Scopus)

Abstract

An algorithm for constructing locally unbiased two-sided critical regions for the Durbin-Watson test is presented. It can also be applied to other two-sided tests. Empirical calculations suggest that, at least for the Durbin-Watson test, the current practice of using equal-tailed critical values yields approximately locally unbiased critical regions.

Original language	English
Pages (from-to)	401-407
Number of pages	7
Journal	Economics Letters
Volume	35
Issue number	4
DOIs	https://doi.org/10.1016/0165-1765(91)90010-I
Publication status	Published - Apr 1991

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title = "The locally unbiased two-sided Durbin-Watson test",

abstract = "An algorithm for constructing locally unbiased two-sided critical regions for the Durbin-Watson test is presented. It can also be applied to other two-sided tests. Empirical calculations suggest that, at least for the Durbin-Watson test, the current practice of using equal-tailed critical values yields approximately locally unbiased critical regions.",

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AB - An algorithm for constructing locally unbiased two-sided critical regions for the Durbin-Watson test is presented. It can also be applied to other two-sided tests. Empirical calculations suggest that, at least for the Durbin-Watson test, the current practice of using equal-tailed critical values yields approximately locally unbiased critical regions.

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The locally unbiased two-sided Durbin-Watson test

Abstract

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