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

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.