DURBINH: MATLAB module to calculate Durbin's h statistic

Ludwig Kanzler ()

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

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