Phillips, Peter C.B.; Loretan, Mico - Cowles Foundation for Research in Economics, Yale University - 1989
This paper studies the properties of the von Neumann ratio for time series with infinite variance. The asymptotic … the Durbin-Watson statistic has the same limit distribution as the von Neumann ratio under general conditions. However … than the errors we find that the Durbin-Watson and von Neumann ration asymptotics are the same. …