Some Modified Versions of Durbins H-Statistic

Author

Yiu Kuen TSE, Singapore Management UniversityFollow
C.T. Phoon

Publication Type

Journal Article

Publication Date

1985

Abstract

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.

Discipline

Economics

Research Areas

Econometrics

Publication

Review of Economics and Statistics

Volume

67

Issue

3

First Page

534

Last Page

538

ISSN

0034-6535

Identifier

10.2307/1925987

Publisher

MIT Press

Citation

TSE, Yiu Kuen and Phoon, C.T.. Some Modified Versions of Durbins H-Statistic. (1985). Review of Economics and Statistics. 67, (3), 534-538.
Available at: https://ink.library.smu.edu.sg/soe_research/103

Additional URL

https://doi.org/10.2307/1925987