Asymptotic theory for the durbin-watson statistic under long-memory dependence

Shisei Nakamura, Masanobu Taniguchi

研究成果: Article査読

1 被引用数 (Scopus)

抄録

In time series regression models with "short-memory" residual processes, the Durbin-Watson statistic (DW) has been used for the problem of testing for independence of the residuals. In this paper we elucidate the asymptotics of DW for "long-memory" residual processes. A standardized Durbin-Watson statistic (SDW) is proposed. Then we derive the asymptotic distributions of SDW under both the null and local alternative hypotheses. Based on this result we evaluate the local power of SDW. Numerical studies for DW and SDW are given.

本文言語English
ページ(範囲)847-866
ページ数20
ジャーナルEconometric Theory
15
6
DOI
出版ステータスPublished - 1999
外部発表はい

ASJC Scopus subject areas

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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