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

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dc.contributor.author Mármol, Francesc
dc.contributor.author Reboredo, Juan C.
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2009-12-22T12:30:17Z
dc.date.available 2009-12-22T12:30:17Z
dc.date.issued 1997-03
dc.identifier.uri http://hdl.handle.net/10016/6209
dc.description.abstract It 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.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers Statistics and Econometrics
dc.relation.ispartofseries 97-28-15
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Spurious relationships
dc.subject.other nonstationary fractionally
dc.subject.other integrated processes
dc.subject.other Durbin-Watson statistic
dc.title Monte Carlo evidence on the power of the Durbin-Watson test against nonsense relationships
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
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