The Durbin-Watson statistic is invalid in autoregressive models, models without a constant term, and models with n = 9.

Question

Quizplus · Accepted Answer

The Durbin-Watson statistic is designed to detect the presence of autocorrelation in the residuals from a regression analysis. It is not suitable for autoregressive models because these models inherently involve autocorrelation by design. Similarly, the test assumes a constant term is present in the model, and its properties are not reliable for very small sample sizes (such as n = 9), making it invalid in these contexts as well.

The Durbin-Watson Statistic Is Invalid in Autoregressive Models, Models Without