Center for Economic Research, Department of Economics, University of Minnesota
A transformation of the OLS residual vector to achieve a desired
covariance structure, proposed earlier by Durbin, is shown to be capable
of substantially changing the OLS residual vector even when that vector
already has nearly the desired covariance structure. This may explain
its substantially inferior performance in Monte Carlo comparisons with
the transform proposed by Abrahamse and Koerts. A new transform, involving
only small alterations in Durbin's procedure, is shown to avoid
the defect of the Durbin transform.
Sims, C.A., (1974), "", Discussion Paper No. 39, Center for Economic Research, Department of Economics, University of Minnesota.
This paper supersedes Discussion Paper
No. 26. Errors in the earlier version
are corrected and new material is added.
Sims, Christopher A..
A Note on Exact Tests for Serial Correlation.
Center for Economic Research, Department of Economics, University of Minnesota.
Retrieved from the University of Minnesota Digital Conservancy,
Content distributed via the University of Minnesota's Digital Conservancy may be subject to additional license and use restrictions applied by the depositor.