On the power of the durbin-watson test under high autocorrelation
- 1 January 1989
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 18 (10) , 3907-3916
- https://doi.org/10.1080/03610928908830130
Abstract
In the linear regression model without an intercept, it is known that the limiting power of the Durbin-Watson test (as correlation among errors increases) equals either one or zero, depending on the underlying regressor matrix. This paper considers the limiting power in the model with an intercept, and proves that it will never equal one or zero.Keywords
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