The distribution of the Durbin-Watson statistic in integrated and near-integrated models
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 61 (1994)
Issue (Month): 2 (April)
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Web page: http://www.elsevier.com/locate/jeconom
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- Pierre Perron & Cosme Vodounou, 2001.
"Asymptotic approximations in the near-integrated model with a non-zero initial condition,"
Royal Economic Society, vol. 4(1), pages 42.
- PERRON, Pierre & VODOUNOU, Cosme, 1998. "Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition," Cahiers de recherche 9815, Universite de Montreal, Departement de sciences economiques.
- Kleiber, Christian & Krämer, Walter, 2004. "Finite sample of the Durbin-Watson test against fractionally integrated disturbances," Technical Reports 2004,15, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Anurag Banerjee, 2004. "Sensitivity of OLS estimates against ARFIMA error process as small sample Test for long memory," Econometric Society 2004 Australasian Meetings 159, Econometric Society.
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