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Critical values for the Durbin-Watson test in large samples

Turner, Paul - In: Applied economics letters 27 (2020) 18, pp. 1495-1499

Persistent link: https://www.econbiz.de/10012315628

On the Durbin-Watson statistic based on a Z-test in large samples

Lee, Mei-Yu - In: International journal of computational economics and … 6 (2016) 1, pp. 114-121

Persistent link: https://www.econbiz.de/10011588862

On Ornstein–Uhlenbeck driven by Ornstein–Uhlenbeck processes

Bercu, Bernard; Proïa, Frédéric; Savy, Nicolas - In: Statistics & Probability Letters 85 (2014) C, pp. 36-44

We investigate the asymptotic behavior of the maximum likelihood estimators of the unknown parameters of positive recurrent Ornstein–Uhlenbeck processes driven by Ornstein–Uhlenbeck processes.

Persistent link: https://www.econbiz.de/10011040019

Further results on the h-test of Durbin for stable autoregressive processes

Proïa, Frédéric - In: Journal of Multivariate Analysis 118 (2013) C, pp. 77-101

The purpose of this paper is to investigate the asymptotic behavior of the Durbin–Watson statistic for the stable p … estimates are also provided. Then, we prove the almost sure convergence and the asymptotic normality for the Durbin–Watson … statistic and we derive a two-sided statistical procedure for testing the presence of a significant first-order residual …

Persistent link: https://www.econbiz.de/10011041931

The adequacy of Hubbert’s curves for the forecasting of the rates of oil extraction

Bazhanov, Andrei; Vyscrebentsev, Alexei - Volkswirtschaftliche Fakultät, … - 2005

Our approach is based on the use of the Durbin-Watson statistic and other statistical criteria for the specification of …

Persistent link: https://www.econbiz.de/10005014718

Bounds for how much influence an observation can have

Olkin, Ingram; Raveh, Adi - In: Statistical Methods and Applications 18 (2009) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10005596327

On the power of durbin-watson statistic against fractionally integrated processes

Tsay, W. - In: Econometric Reviews 17 (1998) 4, pp. 361-386

This paper provides the theoretical explanation and Monte Carlo experiments of using a modified version of Durbin-Watson ( D W ) statistic to test an 1 ( 1 ) process against I ( d ) alternatives, that is, integrated process of order d, where d is a fractional number. We provide the exact order...

Persistent link: https://www.econbiz.de/10005476197

A diagnostic for autocorrelation of the disturbances in regression models

Carota, Cinzia - In: Statistical Methods and Applications 7 (1998) 3, pp. 257-266

Persistent link: https://www.econbiz.de/10008497250