EVALUATION OF THE POWER OF THE DURBIN-WATSON STATISTIC FOR NON-FIRST ORDER SERIAL CORRELATION ALTERNATIVES

Robert C. Blattberg

Chapter 2 in Perspectives on Promotion and Database Marketing:The Collected Works of Robert C Blattberg, 2010, pp 17-24 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionThe Power Function for the Durbin-Watson StatisticThe Variance-Covariance Matrix for a First-Order Moving Average Process and for a Second-Order Serial Correlation ProcessFactors Affecting the Power Function of dLarge Sample Properties of the Trace of HA Large Sample Comparison of the Value of the Power Function of d for Frst-Order and Second-Order Serial Correlation ProcessesComparison of the Value of the Power Function of d for First-Order Moving Average and First-Order Serial Correlation ProcessesCalculated Power Function Values for Specific Sets of Explanatory VariablesThe DataResults for Second-Order Serial Correlation ProcessLimitations of the Standard Adjustment Procedure When Independence Is RejectedConclusionREFERENCES

Keywords: Quantitative Marketing; Tracker Model; Customer Level Data; Marketing-Mix Modeling (search for similar items in EconPapers)
JEL-codes: M31 (search for similar items in EconPapers)
Date: 2010
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