Performance of the Durbin-Watson Test and WLS Estimation When the Disturbance Term Includes Serial Dependence in Addition to First-Order Autocorrelation
额外序列依赖下 Durbin–Watson 检验与 WLS 估计的表现
Monte Carlo simulation is used to study the power of the Durbin-Watson test and the properties of the corresponding weighted least squares (WLS) estimates when there is serial correlation in the disturbance term, in addition to first-order autocorrelation. The results indicate that the Durbin-Watson test detects first-order autocorrelation, even when other forms of serial dependence are also present. However, routine use of WLS estimation when the Durbin-Watson test is…