Faculty of Economics and Business Administration Publications Database

Distribution of the Durbin–Watson Statistic in Near Integrated Processes

Authors:
Abstract:

This paper analyzes the Durbin–Watson (DW) statistic for near-integrated processes. Using the Fredholm approach the limiting characteristic function of DW is derived, in particular focusing on the effect of a “large initial condition” growing with the sample size. Random and deterministic initial conditions are distinguished. We document the asymptotic local power of DW when testing for integration.

Year: 2015
Link External Source: Online Version
Book Title: Empirical Economic and Financial Research - Theory, Methods and Practice
ISBN: 978-3-319-03121-7
Editor: J. Beran, Y. Feng, and H. Hebbel
Publisher: Springer International Publishing
Pages: 421 - 436
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