Abstract
Abstract Durbin's h test for autocorrelated error terms is examined with respect to its small-sample power in addition to Durbin's other asymptotic test, the t test, and the Durbin-Watson bounds test. Using sampling experiments for regression with lagged values of the dependent variable with first-order autocorrelated disturbances, we find that both the h and t tests significantly outperform the Durbin-Watson bounds test and are acceptably powerful in small samples.
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