The locally unbiased two-sided Durbin—Watson test

The locally unbiased two-sided Durbin—Watson test

An algorithm for constructing locally unbiased two-sided critical regions for the Durbin–Watson test is presented. It can also be applied to other two-sided tests. Empirical calculations suggest that, at least for the Durbin–Watson test, the current practice of using equal-tailed critical values yie...

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Veröffentlicht in:Economics letters 1991, Vol.35 (4), p.401-407
Hauptverfasser: Grose, Simone D., King, Maxwell L.
Format: Artikel
Sprache:eng
Schlagworte:
Economic calculations
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Zusammenfassung:An algorithm for constructing locally unbiased two-sided critical regions for the Durbin–Watson test is presented. It can also be applied to other two-sided tests. Empirical calculations suggest that, at least for the Durbin–Watson test, the current practice of using equal-tailed critical values yields approximately locally unbiased critical regions.
ISSN:0165-1765
1873-7374
DOI:10.1016/0165-1765(91)90010-I