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The Durbin-Watson Test for Autocorrelation in Nonlinear Models

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  • White, Kenneth J.

Abstract

This paper shows a simple method of approximating the exact distribution of the Durbin- Watson Test Statistic for first-order autocorrelation in a nonlinear model. The proposed Approximate Nonlinear Durbin-Watson (A.N.D.) test has good size and power when compared to alternatives.

Suggested Citation

  • White, Kenneth J., "undated". "The Durbin-Watson Test for Autocorrelation in Nonlinear Models," Department of Economics Discussion Papers 262932, University of Canterbury - New Zealand.
    • Handle: RePEc:ags:canzdp:262932
    DOI: 10.22004/ag.econ.262932
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