![]() ![]() First, the F-statistic to test for overall significance of the regression may be inflated under positive serial correlation because the mean squared error (MSE) will tend to underestimate the population error variance. ![]() Īlthough serial correlation does not affect the consistency of the estimated regression coefficients, it does affect our ability to conduct valid statistical tests. Note that the distribution of this test statistic does not depend on the estimated regression coefficients and the variance of the errors. Later, John Denis Sargan and Alok Bhargava developed several von Neumann–Durbin–Watson type test statistics for the null hypothesis that the errors on a regression model follow a process with a unit root against the alternative hypothesis that the errors follow a stationary first order autoregression (Sargan and Bhargava, 1983). ![]() Durbin and Watson (1950, 1951) applied this statistic to the residuals from least squares regressions, and developed bounds tests for the null hypothesis that the errors are serially uncorrelated against the alternative that they follow a first order autoregressive process. The small sample distribution of this ratio was derived by John von Neumann (von Neumann, 1941). It is named after James Durbin and Geoffrey Watson. In statistics, the Durbin–Watson statistic is a test statistic used to detect the presence of autocorrelation at lag 1 in the residuals (prediction errors) from a regression analysis. ![]()
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