The Review of Economics and Statistics Vol. 67 No. 3 1985
Some Modified Versions of Durbin's h-Statistic
open access
Abstract
-This paper proposes a modified version of Durbin's h-statistic for testing residual correlation in a dynamic regression model. Finite sample properties of the new statistic, Durbin's h-statistic and Sargan's modified version of h are investigated by simulation.
- DOI
- 10.2307/1925987
- Volume
- 67
- Issue
- 3
- Pages
- 534
- Sources
- openalex crossref