The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Durbin-Watson Statistic

  • James G. MacKinnon
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2200

Abstract

The well-known Durbin–Watson, or DW, statistic, which was proposed by Durbin and Watson (1950, 1951), is used for testing the null hypothesis that the error terms of a linear regression model are serially independent.

Keywords

Durbin–Watson statistic Linear regression models Monte Carlo test Ordinary least squares (OLS) estimator Serial correlation Testing DW statistic 

JEL Classifications

C1 
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Bibliography

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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • James G. MacKinnon
    • 1
  1. 1.