Some Modified Versions of Durbins H-Statistic
This paper proposes a modified version of Durbin's h-statistic for testing residual correlation in a dynamic regression model. Finite sample properties of the new statistic, Durbin's h-statistic and Sargan's modified version of h are investigated by simulation.
Review of Economics and Statistics
TSE, Yiu Kuen and Phoon, C.T..
Some Modified Versions of Durbins H-Statistic. (1985). Review of Economics and Statistics. 67, (3), 534-538. Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/103
This document is currently not available here.