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It is commonly asserted that the DurbinWatson statistic is only appropriate for testing

Econometric Analysis | 5th Edition | ISBN: 9780130661890 | Authors: William H. Greene ISBN: 9780130661890 386

Solution for problem 4 Chapter 12

Econometric Analysis | 5th Edition

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Econometric Analysis | 5th Edition | ISBN: 9780130661890 | Authors: William H. Greene

Econometric Analysis | 5th Edition

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Problem 4

It is commonly asserted that the DurbinWatson statistic is only appropriate for testing for first-order autoregressive disturbances. What combination of the coefficients of the model is estimated by the DurbinWatson statistic in each of the following cases: AR(1), AR(2), MA(1)? In each case, assume that the regression model does not contain a lagged dependent variable. Comment on the impact on your results of relaxing this assumption.

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Chapter 12, Problem 4 is Solved
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Textbook: Econometric Analysis
Edition: 5
Author: William H. Greene
ISBN: 9780130661890

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It is commonly asserted that the DurbinWatson statistic is only appropriate for testing

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