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

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.


Issue Date:
Feb 02 1991
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
21
Series Statement:
9103




 Record created 2017-09-12, last modified 2017-09-12

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