On the power of the durbin-watson test under high autocorrelation |
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Authors: | Helmut Zeisel |
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Affiliation: | Institute for Advanced Studies , Stumpergasse 56, Vienna, A-1060, Austria |
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Abstract: | In the linear regression model without an intercept, it is known that the limiting power of the Durbin-Watson test (as correlation among errors increases) equals either one or zero, depending on the underlying regressor matrix. This paper considers the limiting power in the model with an intercept, and proves that it will never equal one or zero. |
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Keywords: | autocorrelation durbln- watson test linear regression model power |
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