DURBINH: MATLAB module to calculate Durbin's h statistic

Statistical Software Components from Boston College Department of Economics

Abstract: DURBINH (DW, SE2, N, H1) computes the Durbin h statistic DH (a statistic of autocorrelation which is robust to the inclusion of lagged dependent variables in the regression, see Durbin, 1970) and evaluates the associated null hypothesis of no serial correlation against the alternative of EITHER positive OR negative autocorrelation if argument H1 is 1 (one-sided test) or against the alternative of ANY autocorrelation if H1 is 2 (two-sided test, default).

Language: MATLAB
Requires: MATLAB Statistics Toolbox.
Date: 1998-04-06

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/d/durbinh.m program code (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics
Address: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Contact information at EDIRC.
Series data maintained by Christopher F Baum ().