The Power of the Durbin-Watson Test When the Errors are Heteroscedastic

We. consider the robustness of the Durbin-Watson test to mis-specification via heteroscedastic disturbances. Exact powers are calculated using real and artificial regressors. We find that heteroscedasticity may dramatically alter the power of the test.


Issue Date:
Sep 09 1990
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
14
Series Statement:
9009




 Record created 2017-09-11, last modified 2017-09-11

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