In my textbook, it says Durbin-Watson Test can be used only for AR(1) because d-statistic becomes biased if error term isn't follow AR(1) process.
I'm curious why d-statistic gets bias when using DW Test for AR(2), for example.
In my textbook, it says Durbin-Watson Test can be used only for AR(1) because d-statistic becomes biased if error term isn't follow AR(1) process.
I'm curious why d-statistic gets bias when using DW Test for AR(2), for example.