The Durbin-Watson Test for Autocorrelation in Nonlinear Models

Kenneth J. White

No 262932, Department of Economics Discussion Papers from University of Canterbury - New Zealand

Abstract: This paper shows a simple method of approximating the exact distribution of the Durbin- Watson Test Statistic for first-order autocorrelation in a nonlinear model. The proposed Approximate Nonlinear Durbin-Watson (A.N.D.) test has good size and power when compared to alternatives.

Keywords: Agribusiness; Financial Economics (search for similar items in EconPapers)
Pages: 16
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/262932/files/canterbury-nz-020.pdf (application/pdf)
https://ageconsearch.umn.edu/record/262932/files/c ... 0.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:262932

DOI: 10.22004/ag.econ.262932

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 ().