Locally Optimal Properties of the Durbin-Watson Test
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- Banerjee, A.N. & Magnus, J.R., 1996. "Testing the Sensitivity of OLS when the Variance Maxtrix is (Partially) Unknown," Discussion Paper 1996-54, Tilburg University, Center for Economic Research.
- 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.
- Phillips, Peter C. B. & Loretan, Mico, 1991.
"The Durbin-Watson ratio under infinite-variance errors,"
Journal of Econometrics,
Elsevier, vol. 47(1), pages 85-114, January.
- Peter C.B. Phillips & Mico Loretan, 1989. "The Durbin-Watson Ratio Under Infinite Variance Errors," Cowles Foundation Discussion Papers 898R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
- Banerjee, Anurag N. & Magnus, Jan R., 1999. "The sensitivity of OLS when the variance matrix is (partially) unknown," Journal of Econometrics, Elsevier, vol. 92(2), pages 295-323, October.
- 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.
- Maxwell L. King & Sivagowry Sriananthakumar, 2015. "Point Optimal Testing: A Survey of the Post 1987 Literature," Monash Econometrics and Business Statistics Working Papers 5/15, Monash University, Department of Econometrics and Business Statistics.
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