# When should one avoid using Durbin-Watson test for autocorrelation?

Over 60 years ago Durbin and Watson suggested a testing procedure for assessing autocorrelation in regression relationships.The test is known to not work in the presence of lagged dependent variables, in which case Breusch-Godfrey test from the late 1970s applies. Any other known situations where the Durbin-Watson test should not be used?

• Section 12.2 Testing for Serial Correlation of Wooldridge's Introductory Econometrics has a good discussion and has an implicit answer to the question: eco.uc3m.es/~jgonzalo/teaching/EconometriaII/… this is close to what I could tick as the accepted answer. Anyone willing to summarize? – Hibernating Feb 8 '14 at 3:24

The Durbin Watson test or dwtest is useful for checking the presence of first-order autocorrelation only. However, your time series might have higher-order autocorrelations as well. In that case Breusch-Godfrey test is used.