On choosing the optimal level of significance for the Durbin-Watson test and the Bayesian alternative

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Abstract

This paper critically evaluates the usual ad hoc selection of the level of significance in the Durbin-Watson test and compares this procedure to the Bayesian alternative. The results of Monte Carlo experiments indicate that an α-level substantially larger than that normally used may be appropriate. The Bayesian estimator performed better than all preliminary test estimates in terms of MSE. © 1978.

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Fomby, T. B., & Guilkey, D. K. (1978). On choosing the optimal level of significance for the Durbin-Watson test and the Bayesian alternative. Journal of Econometrics, 8(2), 203–213. https://doi.org/10.1016/0304-4076(78)90029-5

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