It is commonly asserted that the DurbinWatson statistic is only appropriate for testing for first-order autoregressive disturbances.
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It is commonly asserted that the Durbin–Watson statistic is only appropriate for testing for first-order autoregressive disturbances. What combination of the coefficients of the model is estimated by the Durbin–Watson statistic in each of the following cases: AR(1), AR(2), MA(1)? In each case, assume that the regression model does not contain a lagged dependent variable. Comment on the impact on your results of relaxing this assumption.
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In each case plim d 2 2p1 where pi Corr1 The first order autocorrelations are as follows A...View the full answer
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