Premium
USE OF THE DURBIN‐WATSON STATISTIC WITH LAGGED DEPENDENT VARIABLES
Author(s) -
Sapir Andre
Publication year - 1977
Publication title -
metroeconomica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.256
H-Index - 29
eISSN - 1467-999X
pISSN - 0026-1386
DOI - 10.1111/j.1467-999x.1977.tb00572.x
Subject(s) - watson , statistic , econometrics , mathematics , ordinary least squares , statistics , economics , computer science , natural language processing
SUMMARY It has been argued that the Durbin‐Watson Statistic “d” is biased towards 2 when lagged endogenous variables are included in an equation estimated by Ordinary Least‐Squares. We show that the Durbin Statistics “h” does not generally contradict the D.‐W. test, and we conjecture that the inclusion of lagged dependent variables produces a real diminution of the dependence of the residuals over time.