The limiting power of the durbin-watson test |
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| Authors: | Jörg-Uwe Löbus Lutz Ritter |
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| Institution: | Department of Mathematics and Information Science , University of Jena , Jena, D-07740, Germany |
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| Abstract: | We compute the limiting povwer of the Durbin-Watson test in a general linear regression model Our treatment includes previous results due to W. Kramer and H, Zeisel as well as new results. In particular, we provide new insight under which conditions the limiting power is zero or one. Stochastic-simulations correspond to our investigations. |
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| Keywords: | autocorrelation test power function |
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