Fomby, Thomas B.; Guilkey, David K. On choosing the optimal level of significance for the Durbin-Watson test and the Bayesian alternative. (English) Zbl 0394.62065 J. Econom. 8, 203-213 (1978). Page: −5 −4 −3 −2 −1 ±0 +1 +2 +3 +4 +5 Show Scanned Page Cited in 1 ReviewCited in 16 Documents MSC: 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) 62F15 Bayesian inference 62P20 Applications of statistics to economics Keywords:Durbin Watson Test; Baysian Alternative; Optimal Level of Significance; Monte Carlo Experiments; Mse PDFBibTeX XMLCite \textit{T. B. Fomby} and \textit{D. K. Guilkey}, J. Econom. 8, 203--213 (1978; Zbl 0394.62065) Full Text: DOI References: [1] Durbin, J.; Watson, G. S., Testing for serial correlation in least squares regression I, Biometrika, 37, 409-428 (1950) · Zbl 0039.35803 [2] Durbin, J.; Watson, G. S., Testing for serial correlation in least squares regression II, Biometrika, 38, 159-178 (1951) · Zbl 0042.38201 [3] Koerts, J.; Abrahamse, A. P.J., On the power of the BLUS procedure, Journal of the American Statistical Association, 63, 1227-1236 (1968) · Zbl 0165.20901 [4] Mehta, J. S.; Swamy, P. A.V. B., Efficient method of estimating the level of a stationary first-order autoregressive process, Communications in Statistics, 3, 81-88 (1974) · Zbl 0274.62066 [5] Prais, S. J.; Winsten, C. B., Trend estimators and serial correlation, Unpublished Cowles Commission Discussion Paper Stat. no. 383 (1954), (Chicago) [6] Rao, P.; Griliches, Z., Small-sample properties of several two-stage regression methods in the context of auto-correlated errors, Journal of the American Statistical Association, 64, 253-272 (1969) [7] Sawa, T.; Hiromatsu, T., Minimax regret significance points for a preliminary test in regression analysis, Econometrica, 6, 1093-1102 (1973) · Zbl 0281.62065 [8] Schmidt, P., Econometrics (1976), Marcel Dekker: Marcel Dekker New York · Zbl 0353.62069 [9] Swamy, P. A.V. B.; Rappoport, P. N., Relative efficiencies of some simple Bayes estimators of coefficients in dynamic models—I, Journal of Econometrics, 3, 273-296 (1975) · Zbl 0339.62067 [10] Thornber, H., Finite sample Monte Carlo studies: An autoregressive illustration, Journal of the American Statistical Association, 801-818 (1967) [11] Toyoda, T.; Wallace, T. D., Estimation of variance after a preliminary test of homogeneity and optimal levels of significance for the pre-test, Journal of Econometrics, 3, 395-404 (1975) · Zbl 0316.62008 [12] Toyoda, T.; Wallace, T. D., Optimal critical values for pre-testing in regression, Econometrica, 44, 365-375 (1976) · Zbl 0359.62084 [13] Zellner, A., An introduction to Bayesian inference in econometrics (1971), Wiley: Wiley New York · Zbl 0246.62098 [14] Zellner, A.; Tiao, G. C., Bayesian analysis of the regression model with autocorrelated errors, Journal of the American Statistical Association, 59, 763-778 (1964) · Zbl 0141.34703 This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.