The small sample bias of Durbin's tests for serial correlation When one of the regressors is the lagged dependent variable and the null hypothesis is true

Durbin (1970) has recently proposed two asymptotically equivalent statistics which can be used to test for the presence of serial correlation when some of the regressors are lagged dependent variables. This study reports on simulation experiments designed to compare the two statistics, in use with small samples, in terms of their tendencies to detect serial correlation when none exists. Of the two test statistics, it is found that the one based …