학술논문
Improved Beta Approximation to the Critical Point of the Durbin-Watson Test Statistic
이용수 7
- 영문명
- 발행기관
- 서울대학교 경제연구소
- 저자명
- Keunkwan Ryu
- 간행물 정보
- 『Seoul Journal of Economics』Seoul Journal of Economics Volume 4 No.1, 1~20쪽, 전체 19쪽
- 주제분류
- 경제경영 > 경제학
- 파일형태
- 발행일자
- 1991.03.31
5,080원
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국문 초록
영문 초록
The Durbin-Watson test in linear regression models is widely known to have problems in its application. The problem of the calculation burden in the exact test and that of the inconclusive region in the bounds test have motivated several approximations to the exact critical point. This paper improves upon the beta approximation by considering that the range of the Durbin-Watson statistic obtainable a priori is reducible to a subinterval of [0,4], which Durbin and Watson (1951) assumed when devising their beta approximation. The proposed approximation is found to outperform the beta, a +bdu, and Jeong's approximations. Its computational burden is virtually the same as that of Beta, heavier than those of a +bd,, and Jeong's. However, the additional burden of computing beta critical points is removed if one uses either our tables or built-in inverse beta function.
목차
Abstract
Ⅰ. Introduction
Ⅱ. A New Approximation
Ⅲ. Comparison of Various Approximations
Ⅳ. Concluding Remarks
References
키워드
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