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Robustness to nonnormality of the Durbin-Watson test for autocorrelation

✍ Scribed by Mukhtar M. Ali; Subhash C. Sharma

Book ID: 107950031
Publisher: Elsevier Science
Year: 1993
Tongue: English
Weight: 1009 KB
Volume: 57
Category: Article
ISSN: 0304-4076
DOI: 10.1016/0304-4076(93)90061-9

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## Abstract This paper illustrates the pitfalls of the conventional heteroskedasticity and autocorrelation robust (HAR) Wald test and the advantages of new HAR tests developed by Kiefer and Vogelsang in 2005 and by Phillips, Sun and Jin in 2003 and 2006. The illustrations use the 1993 Fama–French t