Durbin-Watson statistic in robust regression

Višek, J. Á.

Artykuł - szczegóły

Tytuł artykułu

Durbin-Watson statistic in robust regression

Autorzy

Višek J. Á.

Wybrane pełne teksty z tego czasopisma

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Języki publikacji

Abstrakty

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.

Słowa kluczowe

regression diagnostics M-estimators robustified D-W statistics critical values

Wydawca

Wrocław University of Science and Technology

Czasopismo

Probability and Mathematical Statistics

Rocznik

2003

Tom

Vol. 23, Fasc. 2

Strony

435--483

Opis fizyczny

Bibliogr. 92 poz., tab.

Twórcy

autor

Višek J. Á.

visek@mbox.fsv.cuni.cz

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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