Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables

作者：James Durbin · 发表于：Econometrica · 年份：1970 · DOI：10.2307/1909547 · 被引用次数：1200 · 研究领域：Neural Networks and Applications、Advanced Statistical Methods and Models、Spectroscopy and Chemometric Analyses

The construction of tests of model specification is considered from a general point of view. The results are applied to testing the serial independence of the disturbances in a regression model where some of the regressors are lagged dependent variables. It is shown that the asymptotic distribution of the lag-1 serial correlation coefficient calculated from the least-squares residuals differs from that of the coefficient calculated from the true disturbances. A consequence of this is that tests of serial independence based on the residuals from regression on fixed regressors are invalid when applied to models containing lagged dependent variables even when the null hypothesis of serial independence is true. Tests which are asymptotically valid for the large-sample case are suggested.