On the Durbin-Watson statistic based on a Z-test in large samples

Mei-Yu Lee

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On the Durbin-Watson statistic based on a Z-test in large samples

机译：基于大样本中Z检验的Durbin-Watson统计

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摘要

This paper formulates the Z-test of the Durbin-Watson (DW) statistic by the true sampling distribution of the DW statistic under the null hypothesis of no serial correlation. Two important results are determined. First, the variance of the DW statistic is convexly related to the degree of freedom, T-k- 1. Thus, the degree of freedom determines the Z-test formula of the DW test. Secondly, the law of large numbers induces the sampling distribution of the DW statistic to converge to a normal distribution.

机译：本文在无序列相关的零假设下，通过DW统计量的真实采样分布来制定Durbin-Watson（DW）统计量的Z检验。确定了两个重要结果。首先，DW统计量的方差与自由度T-k-1呈凸关系。因此，自由度确定DW测试的Z测试公式。其次，大数定律促使DW统计量的采样分布收敛到正态分布。

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《International Journal of Computational Economics and Econometrics》 |2016年第1期|114-121|共8页
作者
Mei-Yu Lee;
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作者单位

Department of Applied Finance, Yuanpei University, 306, Yuanpei Str., Hsinchu 30015, Taiwan;

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原文格式 PDF
正文语种 eng
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关键词
the law of large numbers; CLT; central limit theorem; Z-test; Durbin-Watson test; Durbin-Watson statistic;

机译：大数定律;CLT;中心极限定理;Z检验;Durbin-Watson检验;Durbin-Watson统计;

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On the Durbin-Watson statistic based on a Z-test in large samples

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