Statistical Analysis Stack Exchange
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Questions tagged [durbin-watson-test]

A test for presence of autocorrelation in regression errors. Null hypothesis: no autocorrelation; alternative hypothesis: errors follow an AR(1) process.

The tag stands both for

  • The Durbin-Watson Test
  • The Durbin-Watson Statistic

The Durbin-Watson test

The Durbin–Watson test is used to detect presence of autocorrelation in errors or prediction errors from a regression analysis. The null hypothesis is that the errors are serially uncorrelated against the alternative that they follow a first order autoregressive (AR(1)) process. For more general alternative hypotheses, see Breusch-Godfrey and/or Ljung-Box tests.

The Durbin-Watson Statistic

The test statistic of the Durbin-Watson test. The Durbin-Watson statistic is always between 0 and 4. A value of 2 means that there is no autocorrelation in the sample. Values approaching 0 indicate positive autocorrelation and values toward 4 indicate negative autocorrelation.

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Durbin-Watson test and biological (non time-series) data

I was experimenting with cabbages data set and linear regression in R. I tried a Durbin-Watson test on model "Vitamin C concentration as function of cabbage head weight" and got significant result of autocorrelation: data(cabbages, package =…
GegznaV
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Is there a package in R that calculates the Durbin-Watson test assuming a weighted regression?

There are several packages that can apply the Durbin-Watson test for serial correlation. However, I do not see a package that supports the calculation in the case that once has a GLS weighted regression. For example, CRAN package lmtest notes in…
Ram Ahluwalia
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Understanding the Durbin Watson test

The test statistic for the Durbin Watson test can range from 0-4 from what I have gathered. Now the lower limit of 0 makes sense considering the test statistic consists of two summations which are both squared and divided by each other; but what…
DaveRowan
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R: Calculate p-value given Durbin Watson statistic and n

Given the Durbin Watson statistic, what do I need to calculate the p-value? Is there a formula I can use?
ChetanMV
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How are Durbin-Watson critical values calculated?

I am wondering how Durbin-Watson critical values (i.e. dL and du) are calculated. See the Durbin-Watson Significance…
user1456982
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why Durbin Watson result could be so different from Ljung-box or Breusch–Godfrey test for OLS diagnostics

I have a residuals series from OLS regression (out.lm) where I do NOT have lagged dependent variable as a predictor. My residual series has about 1700 numbers. I ran DW test in R, which gave results as follows: dwtest(out.lm) Durbin-waston test …
autor
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How to find Durbin Watson critical values given a large number of observations and regressors?

This is my first question here. I am working on a simple multiple regression model, wherein I have 23 regressors and 122 observations. But for this, I am not able to find the Dl and Du values which I can use in the test for Durbin-Watson statistic…
raghavsikaria
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What happens when using Durbin-Watson Test for AR(2)?

In my textbook, it says Durbin-Watson Test can be used only for AR(1) because d-statistic becomes biased if error term isn't follow AR(1) process. I'm curious why d-statistic gets bias when using DW Test for AR(2), for example.
Dayeon
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How to test multiple regression assumptions when multiple imputation has been used?

I used multiple imputation on SPSS to deal with missing data in my study. I then carried out multiple regression from the imputed and original data-sets, using a split-file. I now have output for each of the 5 imputed data-sets plus the original and…
Charlie Hart
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Best practice of testing for serial correlation in VAR residuals in R

I want to examine the residuals of a VAR and apply the LM test for serial correlation (autocorrelation) like in (this) blog post by Dave Giles. In my test, I first examine the optimum lag length for two time series with an intercept and trend and go…
FenleyK
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Runs test and Durbin-Watson test yield different outcomes

I have analysed the market return using the runs test and the Durbin-Watson test to determine whether the return series follow the random walk or not. The problem I have found is that some return series is rejected by the runs test's null…
Thomas
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Autocorrelation test - Rolling-window regressions

I am performing 5-year rolling regressions over a 90-year period with monthly data and wanted to test for autocorrelation in the residuals. A Durbin-Watson test on the full sample leads to the conlusion that there is a positive 1st-order…
Hornet
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Boundary of the Durbin-Watson statistic

The Durbin-Watson statistic to detect autocorrelation in the error terms ranges from 0 to 4. Currently, I am working out why it cannot exceed 4 analytically. The lower boundary case is obvious considering the actual statistic which is $$DW = …
Taufi
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Durbin-Watson: test exogeneity

I have a time series for which I have built a linear regression, say $Y(t)=\beta X(t)$. A regression implies that $Y$ is actually a function of $X$ (that is, $Y(X)$), but not the other way around ($X(Y)$), right? (since $X$ is assumed to be…
Ricardo Magalhães Cruz
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ACF plot contradicts Durbin-Watson and Breusch-Godfrey test

I have annual data consisting of twenty datapoints (I know not a lot) and I want to check the residuals of a linear model for autocorrelation. The ACF plot does not show peaks outside the confidence limits, however the DW-test does reject…
Claire Wagenaar
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