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Monte Carlo evidence on the power of the Durbin-Watson test against nonsense relationships

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorMármol, Francesc
dc.contributor.authorReboredo, Juan C.
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned2009-12-22T12:30:17Z
dc.date.available2009-12-22T12:30:17Z
dc.date.issued1997-03
dc.description.abstractIt is a well-known fact that, in linear regressions involving the levels of integeated processes spuriously related, the Durbin-Watson statistic converges in probability to zero. This, in turn, implies that this statistic can provide an useful testing procedure against the presence of nonsense relationships. Marmol (1997) extends this result to the case of spurious regressions among nonstationary fractionally integrated processes. The aim of this paper is to provide a theoretical overview of these asymptotic results as well as Monte Carlo evidence on the behavior of the Durbin-Watson test in small samples.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/6209
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers Statistics and Econometrics
dc.relation.ispartofseries97-28-15
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.otherSpurious relationships
dc.subject.othernonstationary fractionally
dc.subject.otherintegrated processes
dc.subject.otherDurbin-Watson statistic
dc.titleMonte Carlo evidence on the power of the Durbin-Watson test against nonsense relationships
dc.typeworking paper*
dspace.entity.typePublication
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