Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Generalized Durbin-Watson Statistics in the Nonstationary Seasonal Time Series Model

  • Cho, Sin-Sup (Department of Statistics, Seoul National University, Seoul, 151-742, Korea. sinsup＠stats.snu.ac.kr) ;
  • Kim, Byung-Soo (Department of Statistics, Inje University, Kimhae, 621-749, Korea. kbs＠stat.inje.ac.kr) ;
  • Park, Young J. (Department of Statistics, North Carolina State University, Releigh, USA)
  • Published : 1997.09.01
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Abstract

In this paper we study the behaviors of the generalized Durbin-Watson (DW) statistics when the nonstationary seasonal time series regression model is misspecified. It is observed that when the series is seasonally integrated the generalized DW statistic for the seasonal period order autocorrelation converges in probability to zero while teh generalized DW statistic for the first order autocorrelation has nondegenerate asymptotic distribution. When the series is regularly and seasonally integrated the generalized DW for the first order autocorrelation still converges in probability to zero.

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References

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