The Locally Unbiased Two-Sided Durbin-Watson Test

Simone D. Grose and Maxwell L. King

No 267135, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: An algorithm for. constructing locally unbiased two-sided critical regions for the Durbin-Watson test is presented. It can also be applied to other two-sided tests. Empirical calculations suggest that, at least for the Durbin-Watson test, the current practice of using equal-tailed critical values yields approximately locally unbiased critical regions.

Keywords: Research; and; Development/Tech; Change/Emerging; Technologies (search for similar items in EconPapers)
Pages: 16
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:267135

DOI: 10.22004/ag.econ.267135

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