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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Institutional Knowledge at Singapore Management University
1985
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sg-smu-ink.soe_research-11022010-09-23T05:48:03Z Some Modified Versions of Durbins H-Statistic TSE, Yiu Kuen Phoon, C.T. 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. 1985-01-01T08:00:00Z text https://ink.library.smu.edu.sg/soe_research/103 info:doi/10.2307/1925987 Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Economics |
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Economics TSE, Yiu Kuen Phoon, C.T. Some Modified Versions of Durbins H-Statistic |
| description |
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. |
| format |
text |
| author |
TSE, Yiu Kuen Phoon, C.T. |
| author_facet |
TSE, Yiu Kuen Phoon, C.T. |
| author_sort |
TSE, Yiu Kuen |
| title |
Some Modified Versions of Durbins H-Statistic |
| title_short |
Some Modified Versions of Durbins H-Statistic |
| title_full |
Some Modified Versions of Durbins H-Statistic |
| title_fullStr |
Some Modified Versions of Durbins H-Statistic |
| title_full_unstemmed |
Some Modified Versions of Durbins H-Statistic |
| title_sort |
some modified versions of durbins h-statistic |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
1985 |
| url |
https://ink.library.smu.edu.sg/soe_research/103 |
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1770569048734564352 |