Performance of the Durbin-Watson Test and WLS Estimation When the Disturbance Term Includes Serial Dependence in Addition to First-Order Autocorrelation
作者:
JeanE. Weber,
DavidE. Monarchi,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1982)
卷期:
Volume 77,
issue 377
页码: 117-128
ISSN:0162-1459
年代: 1982
DOI:10.1080/01621459.1982.10477774
出版商: Taylor & Francis Group
关键词: Durbin-Watson test;Linear regression;Robustness;Serial dependence;Simulation;WLS estimation
数据来源: Taylor
摘要:
Monte Carlo simulation is used to study the power of the Durbin-Watson test and the properties of the corresponding weighted least squares (WLS) estimates when there is serial correlation in the disturbance term, in addition to first-order autocorrelation. The results indicate that the Durbin-Watson test detects first-order autocorrelation, even when other forms of serial dependence are also present. However, routine use of WLS estimation when the Durbin-Watson test is significant may result in inaccurate and inefficient parameter estimates. Therefore, this procedure should be used with caution unless there is a priori knowledge concerning the nature of any serial dependence in the disturbance terms.
点击下载:
PDF (1050KB)
返 回