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Locally Optimal Properties of the Durbin-Watson Test

  • King, Maxwell L.
  • Evans, Merran A.

Although originally designed to detect AR(1) disturbances in the linear-regression model, the Durbin-Watson test is known to have good power against other forms of disturbance behavior. In this paper, we identify disturbance processes involving any number of parameters against which the Durbin–Watson test is approximately locally best invariant uniformly in a range of directions from the null hypothesis. Examples include the sum of q independent ARMA(1,1) processes, certain spatial autocorrelation processes involving up to four parameters, and a stochastic cycle model.

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Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 4 (1988)
Issue (Month): 03 (December)
Pages: 509-516

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Handle: RePEc:cup:etheor:v:4:y:1988:i:03:p:509-516_01
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