| Sumario: | 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.
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