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DURBINH: MATLAB module to calculate Durbin's h statistic

Author

Listed:
  • Ludwig Kanzler

Programming Language

MATLAB

Abstract

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).

Suggested Citation

  • Ludwig Kanzler, 1998. "DURBINH: MATLAB module to calculate Durbin's h statistic," Statistical Software Components T850801, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:t850801
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    File URL: http://fmwww.bc.edu/repec/bocode/d/durbinh.m
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    Keywords

    MATLAB;

    Statistics

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