ABSTRACT

This study shows that the panel Durbin–Watson $d$ test is incapable of distinguishing temporal heteroskedasticity and serial correlation with short time series. The study proposes a new finite sample correction for solving this weakness of the panel Durbin–Watson test. Monte Carlo simulations demonstrate that the corrected statistic performs better in terms of size and power than the extant panel $d$ tests. It leads to more accurate inferences in empirical studies.

中文翻译：

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面板 Durbin-Watson 检验的有限样本校正

摘要

本研究表明，Durbin-Watson 小组$d$检验无法区分短时间序列的时间异方差性和序列相关性。该研究提出了一种新的有限样本校正来解决面板 Durbin-Watson 检验的这一弱点。蒙特卡洛模拟表明，校正后的统计数据在大小和功率方面比现有面板表现更好$d$测试。它导致在实证研究中更准确的推论。