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DURBINH: MATLAB module to calculate Durbin's h statistic

  • Ludwig Kanzler


DURBINH (DW, SE2, N, H1) computes the Durbin h statistic DH (a statistic of autocorrelation which is robust to the inclusion of lagged dependent variables in the regression, see Durbin, 1970) and evaluates the associated null hypothesis of no serial correlation against the alternative of EITHER positive OR negative autocorrelation if argument H1 is 1 (one-sided test) or against the alternative of ANY autocorrelation if H1 is 2 (two-sided test, default).

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Software component provided by Boston College Department of Economics in its series Statistical Software Components with number T850801.

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Size: 74 lines
Programming language: MATLAB
Requires: MATLAB Statistics Toolbox.
Date of creation: 06 Apr 1998
Date of revision:
Handle: RePEc:boc:bocode:t850801
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