Durbin-Watson in ARCH (GARCH) estimation
Posted: Sat Feb 07, 2009 8:33 pm
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?
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?