Approximating the distribution of the Durbin-Watson statistic

Dennis P. Sheehan, Dennis P. Sheehan

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

This paper derives approximations to the distribution of the Durbin-Watson statistic. When the coefficient of serial correlation is zero, the approximations are as good as other approximations proposed in the literature and probably somewhat easier to use. When serial correlation is present, the approximations are only moderately accurate. The problem is that the Edgeworth expansions derived here have difficulty replicating the shape of the true distribution function.

Original languageEnglish (US)
Pages (from-to)73-88
Number of pages16
JournalCommunications in Statistics - Theory and Methods
Volume15
Issue number1
DOIs
StatePublished - Jan 1 1986

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Statistic
Serial Correlation
Approximation
Edgeworth Expansion
Distribution Function
Zero
Coefficient

All Science Journal Classification (ASJC) codes

  • Statistics and Probability

Cite this

Sheehan, Dennis P. ; Sheehan, Dennis P. / Approximating the distribution of the Durbin-Watson statistic. In: Communications in Statistics - Theory and Methods. 1986 ; Vol. 15, No. 1. pp. 73-88.
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Approximating the distribution of the Durbin-Watson statistic. / Sheehan, Dennis P.; Sheehan, Dennis P.

In: Communications in Statistics - Theory and Methods, Vol. 15, No. 1, 01.01.1986, p. 73-88.

Research output: Contribution to journalArticle

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