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Improved Beta Approximation to the Critical Point of the Durbin-Watson Test Statistic

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Authors
Ryu, Keunkwan
Issue Date
1991
Publisher
Seoul Journal of Economics
Citation
Seoul Journal of Economics 4 (No. 1 1991): 1-20
Keywords
Durbin-Watson Test; Henshaw
Abstract
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 +bd, 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.
ISSN
1225-0279
Language
English
URI
http://hdl.handle.net/10371/905
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College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.04(1) (Spring 1991)
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