The Durbin-Watson Test for Autocorrelation in Nonlinear Models
White, Kenneth J.
1990

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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.

Details

Title The Durbin-Watson Test for Autocorrelation in Nonlinear Models
Author(s) White, Kenneth J.
Subject(s)
Issue Date Feb 02 1990
Publication Type Working or Discussion Paper
DOI and Other Identifiers 10.22004/ag.econ.262932
Record Identifier https://ageconsearch.umn.edu/record/262932
Language English
Total Pages 16
Record Appears in University of Canterbury - New Zealand > Department of Economics Discussion Papers

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