The rank von neumann test as a test for autocorrelation in regression models |
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| Authors: | Robert Bartels |
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| Institution: | Department of Econometrics , University of Sydney , NSW, 2006, Australia |
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| Abstract: | The rank Von Neumann test, which performs extremely well as a test for serial correlation in raw data, is here compared with the Durbin-Watson and Geary tests as a test for autocorrelation in regression residuals. The test convincingly outperforms the Geary test but it is less robust than the Durbin-Watson test |
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| Keywords: | Key words and phrases: Durbin-Watson test Geary test simulation |
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