10.6092/ISSN.1973-2201/1003
Dezhbakhsh, H.
H.
Dezhbakhsh
On interpreting the imaginary values of Durbin's h-statistic
Dep. of Statistical Sciences "Paolo Fortunati", Università di Bologna
2013
PDF Document
2013
Statistica; Vol 54, No 2 (1994)
Evidence is provided here that indicates an imaginary value of Durbin's often used h-statistic has no information value in determining the presence or absence of serial correlation in dynamic linear models. However, in many designs an imaginary h value may signal specification problems such as omitted variables or structural shift in coefficients.
Statistica; Vol 54, No 2 (1994)