Some Properties of the Durbin-Watson Test After a Preliminary t-Test

David Giles and Offer Lieberman

No 263004, Department of Economics Discussion Papers from University of Canterbury - New Zealand

Abstract: We consider the common situation in which the application of the Durbin-Watson test for serial correlation in the errors of a regression model is preceded by a preliminary t-test for the significance of one of the coefficients. The effect of such pre-testing on the size and power of the Durbin-Watson test is examined in a Monte Carlo experiment.

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 21
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Persistent link: https://EconPapers.repec.org/RePEc:ags:canzdp:263004

DOI: 10.22004/ag.econ.263004

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