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The Power of the Durbin-Watson Test When the Errors are Heteroscedastic

Author

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  • Giles, David E. A.
  • Small, John P.

Abstract

We. consider the robustness of the Durbin-Watson test to mis-specification via heteroscedastic disturbances. Exact powers are calculated using real and artificial regressors. We find that heteroscedasticity may dramatically alter the power of the test.

Suggested Citation

  • Giles, David E. A. & Small, John P., "undated". "The Power of the Durbin-Watson Test When the Errors are Heteroscedastic," Papers 262942, Department of Economics Discussion Papers.
    • Handle: RePEc:ags:canzdp:262942
    DOI: 10.22004/ag.econ.262942
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