The Durbin-Watson Test for Autocorrelation in Nonlinear Models

Kenneth J. White

doi:10.2307/2109675

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The Durbin-Watson Test for Autocorrelation in Nonlinear Models

Kenneth J. White^1,2

¹ University of Canterbury · ² University of British Columbia

The Review of Economics and Statistics 1992

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 (2)
Pages: 370
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