Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: May, 1970, Volume 38, Issue 3

An Alternative to the Bounds Test for Testing for Serial Correlation in Least-Squares Regression<422:AATTBT>2.0.CO;2-Y
p. 422-429

J. Durbin

This article shows how to transform residuals from regression on an arbitrary set of $k$ regressors to a set of values having the same joint distribution as the residuals from regression on a different set $L$ of $k$ regressors. Let $d^{\prime}$ denote the value of the statistic $\Sigma (z_1 - z_{t-1})^2/ \Sigma z{_t}{^z}$ calculated from these values. It is shown that for a suitable choice of $L$ the distribution of $d^{\prime}$ is the same as that of $d_v$, the significance values of which are tabulated in [$\textbf{1}$].

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