Some properties of the durbin-watson test after a preliminary t-TEST

David Giles

doi:10.1080/00949659208811402

Some properties of the durbin-watson test after a preliminary t-TEST

David Giles

Research output: Contribution to journal › Article › peer-review

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Abstract

We consider the commonly encountered situation in which the application of the Durbin-Watson test for serial correlation in the errors of a linear regression model is preceded by a preliminary t-test for the significance of one of the regressors. The effect of such pre-testing on the size and power of the Durbin-Watson test is examined by means of a Monte Carlo experiment.

Original language	English
Pages (from-to)	219-227
Number of pages	9
Journal	Journal of Statistical Computation and Simulation
Volume	41
Issue number	3-4
DOIs	https://doi.org/10.1080/00949659208811402
State	Published - 1 Jul 1992
Externally published	Yes

Keywords

Pre-testing
autocorrelation
conditional specification
regression model

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10.1080/00949659208811402

Cite this

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AB - We consider the commonly encountered situation in which the application of the Durbin-Watson test for serial correlation in the errors of a linear regression model is preceded by a preliminary t-test for the significance of one of the regressors. The effect of such pre-testing on the size and power of the Durbin-Watson test is examined by means of a Monte Carlo experiment.

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KW - autocorrelation

KW - conditional specification

KW - regression model

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Some properties of the durbin-watson test after a preliminary t-TEST

Abstract

Keywords

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