| Автор | Hashem, Dezhbakhsh |
| Автор | Thursby, JerryG |
| Дата выпуска | 1995 |
| dc.description | This paper examines the sampling properties of a number of serial correlation tests in dynamic linear models which include one or two lags of the dependent variable. Among the tests considered are the Durbin-Watson (DW) bounds test, modified versions of the DW proposed recently by King and Wu and Inder, Durbin's m test, Inder's point optimal test and a Hausman type test. Sampling designs include models with one or two lags of the dependent variable. The m, Hausman, and Inder's tests have the best performance, while Inder's modified DW test appears to be better than the other DW based tests. Results also suggest that tests are less powerful and more sensitive to design parameters in models with higher dynamics, with the DW-based tests being the most sensitive. |
| Формат | application.pdf |
| Издатель | Marcel Dekker, Inc. |
| Копирайт | Copyright Taylor and Francis Group, LLC |
| Тема | Durbin-Watson Test |
| Тема | Autocorrelation Tests |
| Тема | Dynamic Models |
| Название | A monte carlo comparison of tests based on the durbin-watson statistic with other autocorrelation tests in dynamic models |
| Тип | research-article |
| DOI | 10.1080/07474939508800325 |
| Electronic ISSN | 1532-4168 |
| Print ISSN | 0747-4938 |
| Журнал | Econometric Reviews |
| Том | 14 |
| Первая страница | 347 |
| Последняя страница | 365 |
| Аффилиация | Hashem, Dezhbakhsh; Department of Economics, Emory University |
| Аффилиация | Thursby, JerryG; Department of Economics, Purdue University |
| Выпуск | 3 |
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