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 -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 -robust optimal -function, we demonstrate that the differences between the precise critical values of Durbin-Watson statistics evaluated for residuals corresponding to the -estimate and critical values which were found by Durbin and Watson for the least squares analysis are rather small even for moderate sample size.

2000 AMS Mathematics Subject Classification: 62J20, 62F05.

Key words and phrases: Regression, diagnostics, M-estimators, robustified D-W statistics, critical values.