[Gretl-users] Durbin's h statistics

Riccardo (Jack) Lucchetti r.lucchetti at univpm.it
Tue Jan 7 16:23:20 EST 2014


On Tue, 7 Jan 2014, Lovrenc Pfajfar wrote:

> Dear Gretl-users,
>
> Can somebody tell me, how exactly  (formula) is calculated Durbin's h
> statistic in Gretl.

http://gretl.cvs.sourceforge.net/viewvc/gretl/gretl/lib/src/modelprint.c?revision=1.523&view=markup

Line 692:

         h = pmod->rho * sqrt(T / (1 - T * se * se));

where "T" is the number of observations, "pmod->rho" is the sample 
1st autocorrelation of the ols residuals and "se" is the estimated 
standard error of the lagged dependent variable.

Hope this helps.

-------------------------------------------------------
   Riccardo (Jack) Lucchetti
   Dipartimento di Scienze Economiche e Sociali (DiSES)

   Università Politecnica delle Marche
   (formerly known as Università di Ancona)

   r.lucchetti at univpm.it
   http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------


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