Performance of the Durbin-Watson Test and WLS Estimation when the Disturbance Term Includes Serial Dependence in Addition to First-Order Autocorrelation
通过蒙特卡洛模拟研究扰动项存在一阶自相关和其他序列依赖时，德宾-沃森检验的检验功效以及加权最小二乘估计的性质，发现该检验能检测一阶自相关，但加权最小二乘估计可能不准确，需谨慎使用。
Monte Carlo simulation is used to study the power of the Durbin-Watson test and the properties of the corresponding weighted least squares (WLS) estimates when there is serial correlation in the disturbance term, in addition to first-order autocorrelation. The results indicate that the Durbin-Watson test detects first-order autocorrelation, even when other forms of serial dependence are also present. However, routine use of WLS estimation when the Durbin-Watson test is significant may result in inaccurate and inefficient parameter estimates. Therefore, this procedure should be used with caution unless there is a priori knowledge concerning the nature of any serial dependence in the disturbance terms.