The distribution of the Durbin-Watson statistic in integrated and near-integrated models.
The Durbin–Watson (DW) statistic can be used in testing for a unit root in time series regression. For this practical purpose, we calculate tabulated values of the critical points for various sample size and levels of significance when the true model is a first-order autoregression with a unit root...
| Publicado en: | Journal of Econometrics Vol. 61; pp. 367 - 383 |
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| Autores principales: | , |
| Formato: | Artículo |
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Elsevier Science
April 1994
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=512424248&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 512424248 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 03044076 ECM jtl: Journal of Econometrics issn: 03044076 maglogo: N pubinfo: dt: April 1994 vid: 61 pid: 1004 pub: Elsevier Science artinfo: ui: 512424248 10.1016/0304-4076(94)90090-6 ppf: 367 ppct: 16 formats: tig: atl: The distribution of the Durbin-Watson statistic in integrated and near-integrated models. aug: au: Hisamatsu, Hiroyuki Maekawa, Koichi su: Autoregression (Statistics) Autocorrelation (Statistics) Statistics Roots, Numerical Statistical hypothesis testing sug: subj: Autoregression (Statistics) Autocorrelation (Statistics) Statistics Roots, Numerical Statistical hypothesis testing keyword: Durbin-Watson statistic ab: The Durbin–Watson (DW) statistic can be used in testing for a unit root in time series regression. For this practical purpose, we calculate tabulated values of the critical points for various sample size and levels of significance when the true model is a first-order autoregression with a unit root and i.i.d. normal error. To calculate the tables we obtain expressions for the exact and limiting cumulative distributions and probability density functions of the DW statistic. Although the expressions obtained in this paper are not closed form, tables can be obtained by numerical integration. For comparisons of the power and asymptotic properties we also calculate the exact and asymptotic cumulative distribution functions of the OLS estimator which can be used as a test statistic for a unit root. Furthermore, power comparisons are made among DW, OLS, and t statistics by simulation method. As a result it is shown that the DW statistic can be used as an alternative test for detecting a unit root. Reprinted by permission of the publisher. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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