Detecting Unbalanced Regressions Using the Durbin-Watson Test

Francesc Marmol and Juan Reboredo

UFAE and IAE Working Papers from Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)

Abstract: The aim of this paper is to provide a simulation-based analysis on the bahavior of the Durbin-Watson statistic as a misspecification test againstthe presence of unbalanced regressions among nonstationary fractionally integrated process. Theoretically, it is well-known that this statistic converges in probability to zero under this setup. In finite samples, however, from our Monte Carlo experiments it shows up a rather surprising behaviour with respect to the expected asymptotic one.

Keywords: ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C12 C22 C32 (search for similar items in EconPapers)
Pages: 39 pages
Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:aub:autbar:380.97

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