THE POWER OF THE DURBIN-WATSON TEST WHEN THE ERRORS ARE HETEROSCEDASTIC

被引：3

作者：

GILES, DEA

SMALL, JP

机构：

[1] University of Canterbury, Christchurch

来源：

ECONOMICS LETTERS | 1991年 / 36卷 / 01期

关键词：

D O I：

10.1016/0165-1765(91)90052-M

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We consider the robustness of the Durbin-Watson test to mis-specification via heteroscedastic disturbances. Exact powers are calculated using real and artificial regressors. We find that heteroscedasticity may dramatically alter the power of the test. © 1991.

引用

页码：37 / 41

页数：5

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