The Effect of Nonzero Autocorrelation Coefficients on the Distributions of Durbin-Watson Test Estimator: Three Autoregressive Models
This paper investigates the effect of the nonzero autocorrelation coefficients on the sampling distributions of the Durbin-Watson test estimator in three time-series models that have different variance-covariance matrix assumption, separately. We show that the expected values and variances of the Du...
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| Format: | Article |
| Language: | English |
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Sprint Investify
2014-11-01
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| Series: | Expert Journal of Economics |
| Subjects: | |
| Online Access: | http://economics.expertjournals.com/wp-content/uploads/EJE_211lee2014pp85-99.pdf |