The twelfth order analogue of the durbin-watson test

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Abstract

This paper provides five percent significance bounds on critical values of the twelfth order analogue of the Durbin-Watson test. These tables are useful for testing for twelfth order autocorrelation in regression models with monthly data which include either an intercept or a full set of monthly seasonal dummies.

Original languageEnglish
Pages (from-to)679-688
Number of pages10
JournalCommunications in Statistics - Simulation and Computation
Volume16
Issue number3
DOIs
Publication statusPublished - 1 Jan 1987

Keywords

  • autocorrelation
  • hypothesis testing
  • linear regression

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