The Power of the Durbin-Watson Test When the Errors are Heteroscedastic

David E. A. Giles and John P. Small

No 262942, Department of Economics Discussion Papers from University of Canterbury - New Zealand

Abstract: We. consider the robustness of the Durbin-Watson test to mis-specification via heteroscedastic disturbances. Exact powers are calculated using real and artificial regressors. We find that heteroscedasticity may dramatically alter the power of the test.

Pages: 14
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/262942/files/canterbury-nz-028.pdf (application/pdf)
https://ageconsearch.umn.edu/record/262942/files/c ... 8.pdf?subformat=pdfa (application/pdf)

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

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:canzdp:262942

DOI: 10.22004/ag.econ.262942

Access Statistics for this paper

More papers in Department of Economics Discussion Papers from University of Canterbury - New Zealand Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().