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...

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Bibliographic Details

Published in:	Journal of Econometrics Vol. 61; pp. 367 - 383
Main Authors:	Hisamatsu, Hiroyuki, Maekawa, Koichi
Format:	Article
Published:	Elsevier Science April 1994
Subjects:	Autoregression (Statistics) Autocorrelation (Statistics) Statistics Roots, Numerical Statistical hypothesis testing
Online Access:	View this record in EBSCOhost