A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autoregressive process
暂无分享,去创建一个
[1] J. Durbin,et al. Testing for serial correlation in least squares regression. I. , 1950, Biometrika.
[2] W. Stout. A martingale analogue of Kolmogorov's law of the iterated logarithm , 1970 .
[3] John A Tillman,et al. The Power of the Durbin-Watson Test , 1975 .
[4] Toni Stocker. On the asymptotic bias of OLS in dynamic regression models with autocorrelated errors , 2007 .
[5] L. Godfrey. TESTING AGAINST GENERAL AUTOREGRESSIVE AND MOVING AVERAGE ERROR MODELS WHEN THE REGRESSORS INCLUDE LAGGED DEPENDENT VARIABLES , 1978 .
[6] Guy Fayolle,et al. On the Almost Sure Central Limit Theorem for Vector Martingales: Convergence of Moments and Statistical Applications , 2009, Journal of Applied Probability.
[7] J. Durbin. Approximate distributions of Student's t -statistics for autoregressive coefficients calculated from regression residuals , 1986 .
[8] James Durbin,et al. Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables , 1970 .
[9] Bernard Bercu,et al. On the convergence of moments in the almost sure central limit theorem for martingales with statistical applications , 2004 .
[10] Maxwell L. King,et al. Small-disturbance asymptotics and the Durbin-Watson and related tests in the dynamic regression model , 1991 .
[11] Kenneth F. Wallis,et al. USE OF THE DURBIN-WATSON STATISTIC IN INAPPROPRIATE SITUATIONS , 1966 .
[12] F. Proïa. A new statistical procedure for testing the presence of a significative correlation in the residuals of stable autoregressive processes , 2012 .
[13] G. Box,et al. On a measure of lack of fit in time series models , 1978 .
[14] E. J. Hannan. TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION , 1957 .
[15] J. Durbin,et al. Testing for serial correlation in least squares regression. II. , 1950, Biometrika.
[16] Brett Inder. AN APPROXIMATION TO THE NULL DISTRIBUTION OF THE DURBIN-WATSON STATISTIC IN MODELS CONTAINING LAGGED DEPENDENT VARIABLES , 1986 .
[17] P. Hall,et al. Martingale Limit Theory and Its Application , 1980 .
[18] Brett Inder,et al. Finite-sample power of tests for autocorrelation in models containing lagged dependent variables , 1984 .
[19] Edmond Malinvaud. Estimation et prevision dans les modeles economiques autoregressifs , 1961 .
[20] J. Winnicki,et al. Estimation of the variances in the branching process with immigration , 1991 .
[21] G. Box,et al. Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models , 1970 .
[22] M. Loève. On Almost Sure Convergence , 1951 .
[23] Stephen S. Wilson,et al. Random iterative models , 1996 .
[24] T. Breusch. TESTING FOR AUTOCORRELATION IN DYNAMIC LINEAR MODELS , 1978 .
[25] G. Maddala,et al. TESTS FOR SERIAL CORRELATION IN REGRESSION MODELS WITH LAGGED DEPENDENT VARIABLES AND SERIALLY CORRELATED ERRORS , 1973 .
[26] Soo-Bin Park. On the Small-Sample Power of Durbin's h Test , 1975 .