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May 1, 1970Econometrica77 citations

An Alternative to the Bounds Test for Testing for Serial Correlation in Least-Squares Regression

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JDJ. Durbin

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Abstract

This article shows how to transform residuals from regression on an arbitrary set of k regressors to a set of values having the same joint distribution as the residuals from regression on a different set L of k regressors. Let d′ denote the value of the statistic \ (zₓ-zₓ-₁) ^2/\ zₓ^2 calculated from these values. It is shown that for a suitable choice of L the distribution of d′ is the same as that of dₔ, the significance values of which are tabulated in 1.

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J. Durbin (1970) studied this question.

synapsesocial.com/papers/6a0dc8bb68ddba849a09e251https://doi.org/10.2307/1909548
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