Abstract
It is shown that the lower and upper critical values of the Durbin-Watson (D-W) statistic are asymptotically the same for the analysis based on M-estimators as for the classical least squares analysis. Moreover, the paper offers a possibility to make an idea when the asymptotics may start to work.
Considering the B-robust optimal φ-function, we demonstrate that the differences between the precise critical values of Durbin-Watson statistics evaluated for residuals corresponding to the M-estimate and critical values which were found by Durbin and Watson for the least squares analysis are rather small even for moderate sample size.