The Durbin-Watson ratio under infinite-variance errors
无限方差误差下的 Durbin–Watson 比率
This paper studies the properties of the von Neumann ratio for time series with infinite variance. Our asymptotics cover the null of iid variates and general moving-average (MA) alternatives. Regression residuals are also considered. In the static regression model the Durbin-Watson statistic has the same limit distribution as the von Neumann ratio. In dynamic models the results are more complex. In finite-variance models our results specialize to those of the Durbin…