The Power of the Durbin-Watson Test When the Errors are Heteroscedastic
Giles, David E. A.; Small, John P.
1990

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Abstract

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.

Details

Title The Power of the Durbin-Watson Test When the Errors are Heteroscedastic
Author(s) Giles, David E. A.
Small, John P.
Issue Date Sep 09 1990
Publication Type Working or Discussion Paper
DOI and Other Identifiers 10.22004/ag.econ.262942
Record Identifier https://ageconsearch.umn.edu/record/262942
Language English
Total Pages 14
Series Statement 9009
Record Appears in University of Canterbury - New Zealand > Department of Economics Discussion Papers

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