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Durbin-Watson statistic in robust regression

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EN
Abstrakty
EN
It is shown that the lower and upper critical values of the Durbin-Watson (D-W) statistic are asymptotically the same for the analysis based on M-estimators as for the classical least squares analysis. Moreover, the paper offers a possibility to make an idea when the asymptotics may start to work. Considering the B-robust optimal ψ-function, we demonstrate that the differences between the precise critical values of Durbin-Watson statistics evaluated for residuals corresponding to the M-estimate and critical values which were found by Durbin and Watson for the least squares analysis are rather small even for moderate sample size.
Rocznik
Strony
435--483
Opis fizyczny
Bibliogr. 92 poz., tab.
Twórcy
  • Department of Macroeconomics and Econometrics, Institute of Economic Studies, Faculty of Social Sciences, Charles University
  • Department of Stochastic Informatics, Institute of Information Theory and Automation, Academy of Sciences of Czech Republic, Opletalova ulice 26, CZ - 11000 Prague 1, Czech Republic
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