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 language | English |
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Pages (from-to) | 679-688 |
Number of pages | 10 |
Journal | Communications in Statistics - Simulation and Computation |
Volume | 16 |
Issue number | 3 |
DOIs | |
Publication status | Published - 1 Jan 1987 |
Keywords
- autocorrelation
- hypothesis testing
- linear regression