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The Durbin-Watson Test for Autocorrelation in Nonlinear Models

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  • White, Kenneth J

Abstract

This paper shows a simple method for approximating the exact distribution of the Durbin-Watson test statistic for first-order autocorrelation in a nonlinear model. The proposed approximate nonlinear Durbin-Watson test has good size and power when compared to alternatives. Copyright 1992 by MIT Press.

Suggested Citation

  • White, Kenneth J, 1992. "The Durbin-Watson Test for Autocorrelation in Nonlinear Models," The Review of Economics and Statistics, MIT Press, vol. 74(2), pages 370-373, May.
    • Handle: RePEc:tpr:restat:v:74:y:1992:i:2:p:370-73
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    1. Uk Heo, 1998. "Modeling the Defense-Growth Relationship around the Globe," Journal of Conflict Resolution, Peace Science Society (International), vol. 42(5), pages 637-657, October.
    2. Cadot, Olivier & Röller, Lars-Hendrik & Stephan, Andreas, 1999. "A Political Economy Model of Infrastructure Allocation: An Empirical Assessment," CEPR Discussion Papers 2336, C.E.P.R. Discussion Papers.
    3. Wan, Alan & Zou, Guohua & Banerjee, Anurag, 2004. "The limiting power of autocorrelation tests in regression models with linear restrictions," Discussion Paper Series In Economics And Econometrics 405, Economics Division, School of Social Sciences, University of Southampton.
    4. David Giles & Patrick Caragata, 2001. "The learning path of the hidden economy: the tax burden and tax evasion in New Zealand," Applied Economics, Taylor & Francis Journals, vol. 33(14), pages 1857-1867.
    5. Cui, Qiang & Kuang, Hai-bo & Wu, Chun-you & Li, Ye, 2014. "The changing trend and influencing factors of energy efficiency: The case of nine countries," Energy, Elsevier, vol. 64(C), pages 1026-1034.
    6. Cadot, Olivier & Roller, Lars-Hendrik & Stephan, Andreas, 2006. "Contribution to productivity or pork barrel? The two faces of infrastructure investment," Journal of Public Economics, Elsevier, vol. 90(6-7), pages 1133-1153, August.
    7. Uk Heo & Robert J. Eger III, 2005. "Paying for Security," Journal of Conflict Resolution, Peace Science Society (International), vol. 49(5), pages 792-817, October.
    8. Albert N. Link & Cody A. Morris & Martijn van Hasselt, 2019. "The impact of public R&D investments on patenting activity: technology transfer at the U.S. Environmental Protection Agency," Economics of Innovation and New Technology, Taylor & Francis Journals, vol. 28(5), pages 536-546, July.
    9. Hajnalka Tarjani, 2005. "Estimating some labour market implications of skill biased technology change and imports in Hungary," CERS-IE WORKING PAPERS 0508, Institute of Economics, Centre for Economic and Regional Studies.
    10. Wan, Alan & Zou, Guohua & Banerjee, Anurag, 2004. "The limiting power of autocorrelation tests in regression models with linear restrictions," Discussion Paper Series In Economics And Econometrics 0405, Economics Division, School of Social Sciences, University of Southampton.
    11. Polachek, Solomon & Das, Tirthatanmoy & Thamma-Apiroam, Rewat, 2013. "Heterogeneity in the Production of Human Capital," IZA Discussion Papers 7335, Institute of Labor Economics (IZA).
    12. Henningsen, Arne & Henningsen, Geraldine & van der Werf, Edwin, 2019. "Capital-labour-energy substitution in a nested CES framework: A replication and update of Kemfert (1998)," Energy Economics, Elsevier, vol. 82(C), pages 16-25.
    13. McDonald Bruce D & Eger Robert J, 2010. "The Defense-Growth Relationship: An Economic Investigation into Post-Soviet States," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 16(1), pages 1-28, September.
    14. Soo Beom Choi & Insung Ahn, 2020. "Forecasting imported COVID-19 cases in South Korea using mobile roaming data," PLOS ONE, Public Library of Science, vol. 15(11), pages 1-10, November.
    15. Jack Ngarambe & Mattheos Santamouris & Geun Young Yun, 2022. "The Impact of Urban Warming on the Mortality of Vulnerable Populations in Seoul," Sustainability, MDPI, vol. 14(20), pages 1-26, October.
    16. Pinkse, Joris, 1998. "A consistent nonparametric test for serial independence," Journal of Econometrics, Elsevier, vol. 84(2), pages 205-231, June.
    17. Huy Quang Vu, 2012. "Imports and the demand for skilled and unskilled labour - the Australian experience," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, vol. 15(1), pages 37-55.
    18. Kemfert, Claudia, 1998. "Estimated substitution elasticities of a nested CES production function approach for Germany," Energy Economics, Elsevier, vol. 20(3), pages 249-264, June.

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