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An Approximation to the Null Distribution of the Durbin-Watson Statistic in Models Containing Lagged Dependent Variables

Published online by Cambridge University Press:  18 October 2010

Brett Inder
Brett Inder
Affiliation:
Monash University, Australia
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Abstract

We consider testing for autoregressive disturbances in the linear regression model with a lagged dependent variable. An approximation to the null distribution of the Durbin—Watson statistic is developed using small-disturbance asymptotics, and is used to obtain test critical values. We also obtain nonsimilar critical values for the Durbin—Watson and Durbin's h and t tests. Monte Carlo results are reported comparing the performances of the tests under the null and alternative hypotheses. The Durbin–Watson test is found to be more powerful and to perform more consistently than either of Durbin's tests under Ho.

Type
Articles
Information
Econometric Theory , Volume 2 , Issue 3 , December 1986 , pp. 413 - 428
Copyright
Copyright © Cambridge University Press 1986

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