DURBINH: MATLAB module to calculate Durbin's h statistic
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).
|Requires:||MATLAB Statistics Toolbox.|
|Date of creation:||06 Apr 1998|
|Date of revision:|
|Contact details of provider:|| Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA|
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