Question: Show that when n is large, the Durbin-Watson statistic D is approximately equal to 21 & r1, where r1 is the lag-1 autocorrelation of the

Show that when n is large, the Durbin-Watson statistic D is approximately equal to 2ð1 & r1Þ, where r1 is the lag-1 autocorrelation of the OLS residuals. (Hint: When n is large, Pn t¼1 E2 t »

Pn t¼2 E2 t »

Pn t¼2 E2 t&1.)

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