唐伯小猫 发表于 2011-7-26 04:34 
大家好！请问大家，有人遇到这种问题么？时间序列，回归的结果dw检验结果过了，但是Breusch-Godfrey检验却没有过，请问有可能是怎么什么原因呢？
谢谢啦！！
对於DW test，一般计量基础教科书都应该会有她适用条件的说明。
以下来自无远弗届的网路。
"
An important note is that the Durbin–Watson statistic, while displayed by many regression analysis programs, is not relevant in many situations. For instance, if the error distribution is not normal, if there is higher-order autocorrelation, or if the dependent variable is in a lagged form as an independent variable, this is not an appropriate test for autocorrelation. A suggested test that does not have these limitations is the Breusch-Godfrey (serial correlation LM) Test."
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