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Durbin-Watson statistic in robust regression

Višek J. Á.

Probability and Mathematical Statistics

2003

Vol. 23, Fasc. 2

435--483

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.