The Review of Economics and Statistics Vol. 74 No. 2 1992

The Durbin-Watson Test for Autocorrelation in Nonlinear Models

Kenneth J. White^1,2

¹ University of Canterbury · ² University of British Columbia

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.

DOI

10.2307/2109675

Volume

74

Issue

2

Pages

370

Sources

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