The locally unbiased two-sided Durbin-Watson test

Simone Grose, Maxwell L. King

Research output: Contribution to journalArticleResearchpeer-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 languageEnglish
Pages (from-to)401-407
Number of pages7
JournalEconomics Letters
Volume35
Issue number4
DOIs
Publication statusPublished - Apr 1991

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