Show that when n is large, the Durbin Watson statistic D is approximately equal to 21 r1, where r1 is the lag 1 autocorrelation of the OLS residuals (Hint When n is large, Pn t1 E2 t Pn t2 E2 t Pn t2 E2 t 1 ) ...

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Show that when n is large, the Durbin-Watson statistic D is approximately equal to 21 & r1,

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Show that when n is large, the Durbin-Watson statistic D is approximately equal to 2ð1 & r1Þ, where r1 is the lag-1 autocorrelation of the OLS residuals. (Hint: When n is large, Pn t¼1 E2 t »

Pn t¼2 E2 t »

Pn t¼2 E2 t&1.)

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Applied Regression Analysis And Generalized Linear Models

ISBN: 9781452205663

3rd Edition

Authors: By John Fox

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Show that when n is large, the Durbin-Watson statistic D is approximately equal to 21 & r1,

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Applied Regression Analysis And Generalized Linear Models

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