{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,2]],"date-time":"2026-10-02T08:26:42Z","timestamp":1790929602117,"version":"4.1.0"},"reference-count":22,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2010,10,18]],"date-time":"2010-10-18T00:00:00Z","timestamp":1287360000000},"content-version":"unspecified","delay-in-days":8722,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[1986,12]]},"abstract":"<jats:p>We consider testing for autoregressive disturbances in the linear regression model with a lagged dependent variable. An approximation to the null distribution of the Durbin\u2014Watson statistic is developed using small-disturbance asymptotics, and is used to obtain test critical values. We also obtain nonsimilar critical values for the Durbin\u2014Watson and Durbin's<jats:italic>h<\/jats:italic>and<jats:italic>t<\/jats:italic>tests. Monte Carlo results are reported comparing the performances of the tests under the null and alternative hypotheses. The Durbin\u2013Watson test is found to be more powerful and to perform more consistently than either of Durbin's tests under H<jats:sub>o<\/jats:sub>.<\/jats:p>","DOI":"10.1017\/s0266466600011683","type":"journal-article","created":{"date-parts":[[2010,10,18]],"date-time":"2010-10-18T09:11:55Z","timestamp":1287393115000},"page":"413-428","source":"Crossref","is-referenced-by-count":30,"title":["An Approximation to the Null Distribution of the Durbin-Watson Statistic in Models Containing Lagged Dependent Variables"],"prefix":"10.1017","volume":"2","author":[{"given":"Brett","family":"Inder","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2010,10,18]]},"reference":[{"key":"S0266466600011683_ref021","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(75)90034-2"},{"key":"S0266466600011683_ref020","doi-asserted-by":"publisher","DOI":"10.2307\/2297109"},{"key":"S0266466600011683_ref019","first-page":"60","article-title":"On the small-sample power of Durbin's h test","volume":"70","author":"Park","year":"1975","journal-title":"Journal of the American Statistical Association"},{"key":"S0266466600011683_ref018","volume-title":"Student's t approximation in a stationary first-order autoregressive model","author":"Nankervis","year":"1984"},{"key":"S0266466600011683_ref014","unstructured":"14. Kiviet J. F . On the rigour of some misspecification tests for modeling dynamic relationships, Report AE 11\/81 (Revised Edition), Faculty of Actuarial Science and Econometrics, University of Amsterdam, (1983)."},{"key":"S0266466600011683_ref012","doi-asserted-by":"crossref","first-page":"1571","DOI":"10.2307\/1911419","article-title":"The Durbin-Watson test for serial correlation: Bounds for regressions with trend and\/or seasonal dummy variables","volume":"49","author":"L","year":"1981","journal-title":"Econometrica"},{"key":"S0266466600011683_ref011","doi-asserted-by":"publisher","DOI":"10.2307\/1923933"},{"key":"S0266466600011683_ref005","volume-title":"The Econometric Analysis of Time Series","author":"Harvey","year":"1981"},{"key":"S0266466600011683_ref004","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/38.1-2.159"},{"key":"S0266466600011683_ref003","first-page":"409","article-title":"Testing for serial correlation in least squares regression I","volume":"37","author":"Durbin","year":"1950","journal-title":"Biometrika"},{"key":"S0266466600011683_ref015","volume-title":"On the Theory and Application of the General Linear Model","author":"Koerts","year":"1969"},{"key":"S0266466600011683_ref017","doi-asserted-by":"publisher","DOI":"10.2307\/1924765"},{"key":"S0266466600011683_ref022","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(82)90018-5"},{"key":"S0266466600011683_ref002","doi-asserted-by":"publisher","DOI":"10.2307\/1909547"},{"key":"S0266466600011683_ref009","doi-asserted-by":"crossref","unstructured":"9. Inder B. A . An approximation to the null distribution of the Durbin-Watson statistic in models containing lagged dependent variables, Department of Econometrics and Operations Research, Monash University Working Paper No. 4\/86, (1986).","DOI":"10.1017\/S0266466600011683"},{"key":"S0266466600011683_ref016","doi-asserted-by":"publisher","DOI":"10.2307\/1914095"},{"key":"S0266466600011683_ref008","doi-asserted-by":"crossref","unstructured":"8. Inder B. A . Finite-sample power of tests for autocorrelation in models containing lagged dependent variables: A Correction, Department of Econometrics and Operations Research, Monash University, Working Paper No. 3\/84, (1984b).","DOI":"10.1016\/0165-1765(84)90080-6"},{"key":"S0266466600011683_ref013","unstructured":"13. L. King M. Testing for autocorrelation in linear regression models: A Survey, forthcoming in King M. L. and Giles D.E.A. (eds) Specification Analysis in the Linear Model (in Honour of Donald Cochrane), (1986)."},{"key":"S0266466600011683_ref001","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(82)90050-1"},{"key":"S0266466600011683_ref006","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/48.3-4.419"},{"key":"S0266466600011683_ref007","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(84)90080-6"},{"key":"S0266466600011683_ref010","doi-asserted-by":"publisher","DOI":"10.2307\/1913945"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466600011683","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,11,12]],"date-time":"2021-11-12T01:12:28Z","timestamp":1636679548000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466600011683\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1986,12]]},"references-count":22,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1986,12]]}},"alternative-id":["S0266466600011683"],"URL":"https:\/\/doi.org\/10.1017\/s0266466600011683","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1986,12]]}}}