Some Modified Versions of Durbins H-Statistic
This paper proposes a modified version of Durbin's h-statistic for testing residual correlation in a dynamic regression model. Finite sample properties of the new statistic, Durbin's h-statistic and Sargan's modified version of h are investigated by simulation.
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1985
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/103 |
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| Institution: | Singapore Management University |
| Language: | English |