Discussion Paper
The Durbin-Watson Ratio under Infinite Variance Errors
This paper studies the properties of the von Neumann ratio for time series with infinite variance. The asymptotic theory is developed using recent results on the weak convergence of partial sums of time series with infinite variance to stable processes and of sample serial correlations to functions of stable variables. Our asymptotics cover the null of iid variates and general moving average (MA) alternatives. Regression residuals are also considered.