As long as I know, DW index is no informative when there is a heteroskedasticity.
Then, if we have a Durbin-Watson index (say, 0.2) in ARCH(GARCH) estimation,
how could we deal with this?
Can I just ignore it?
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- Sat Feb 07, 2009 8:33 pm
- Forum: Econometric Discussions
- Topic: Durbin-Watson in ARCH (GARCH) estimation
- Replies: 0
- Views: 4666