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Statistical Papers

, Volume 35, Issue 1, pp 365–369 | Cite as

A critique of recent methods for computing the distribution of the Durbin-Watson and other invariant test statistics

  • R. W. Farebrother
Articles

Abstract

In recent papers Ansley, Kohn and Shively (SAK, 1990; AKS, 1992; KSA, 1993) have proposed methods for evaluating the null distribution of the Durbin-Watson and related statistics more rapidly than by the methods of Davies (1980) or Farebrother (1980, 1990). In this paper we discuss several problems concerning the numerical accuracy of these new procedures and recommend that practitioners intending to use them should do so with caution.

Keywords

Null Distribution American Statistical Association Numerical Accuracy Full Column Rank Lower Triangular Matrix 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

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Copyright information

© Springer-Verlag 1994

Authors and Affiliations

  • R. W. Farebrother
    • 1
  1. 1.Department of Econometrics and Social Statistics Faculty of Economic and Social StudiesVictoria University of ManchesterManchesterUK

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