Tag Archives: durbin

Spurious Significance #3: Some DW Statistics

Granger and Newbold [1974] provided examples of spurious significance in a random walk context. This has been extended by various authors to a number of other persistent processes. Granger and Newbold suggested that the DW statistic could be used to test the autocorrelation in the residuals, giving a test that could be used in a […]

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