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.

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Different Joinpoint/Segmented regression results and Durbin-Watson test

I used the Joinpoint trend software (https://surveillance.cancer.gov/joinpoint/) and found interesting results to my data that really intrigued me. I have mortality rates from 2001 to 2021 as follows: ...
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Autocorrelation: Durbin Wstson test

I am undertaking interrupted time series analysis and check for autocorrelation. I use the Durnin Watson test on data modelled using a simple OLS. Is this the correct t approach or should you use the ...
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Should I check for autocorrelation in a Bayesian Structural Time Series Model (CausalImpact)?

Is it recommended to check for autocorrelation in a Bayesian Structural Time Series model (using CausalImpact)? If so, could I use the Durbin Watson significance table for models with no intercept to ...
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Durbin Watson Statistic Significant but Autocorrelation Low

I used the durbinWatsonTest command to test a regression for autocorrelation of error terms in R and got the following output: ...
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Model residuals are normally distributed but they are heteroscedastic and autocorrelated

I have a candidate set of five linear models, as I want to choose the model with the lowest AIC and calculate predictions from it. For each model, I have tested for normality of model residuals (...
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Multiple Regression - VIF

could anyone help me with my problem - I’m a beginner. When doing multiple regression and checking for multicollinearity, I have found 2 VIF’s of 17, however, I’ve done some reading and few say it is ...
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Checking for autocorrelation in residuals

I have fitted a multiple linear regression equation and looked at the Durbin-Watson test statistic for the same. I was told that in order to not rejecting null hypothesis of no auto-correlation ...
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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 ...
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Why do DW test have dL and dU, different from other tests? [duplicate]

I wonder why the Durbin-Watson test table has the critical values of dL and dU. This is different from other tests, Z, t, chi-squire, F. It has confused me. A test statistic has the sampling ...
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Making Sense of Differences Between Durbin-Watson Test, ACF, and auto.arima

Trying to make sense of my results. I'm trying to assess if an intervention had an effect on infection rates using an interrupted time series design. I have monthly data on infection rates for ...
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Testing for independence in clustered cross-sectional data

I am developing a multiple regression model using Expert-survey data on different ideological positions of political parties in Europe. So my dataset contains >200 political parties with different ...
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Does it make sense theoretically to lag my dependent variable?

I am currently doing a research on the correlation between the duration of conflicts and religious organisations. For this, I am doing a multiple linear regression, with my dependent variable being ...
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Using time in a regression model with many observations per time point / interpreting Durbin-Watson in large sample

I am dealing with a huge dataset (>500k responses) containing measures of prejudice collected over a period of 10 years. We want to run a multiple regression model to test how various factors ...
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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 ...
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can Durbin Watson be used for binary valued times series

I have multiple time series and for each time series, each series is either one or 0. So for example, it is like the following: ...
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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 table https://www3.nd.edu/~wevans1/econ30331/Durbin_Watson_tables.pdf https://...
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Using a Multilevel model when the residuals are not autocorrelated

I have a dataset which includes data about US citizens nested within states. At first glance it seems appropriate to conduct a multilevel analysis, since allegedly there's supposed to be ...
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What does Durbin-Watson test output in R means?

I have two related questions. Question 1 I ran a Durbin-Watson test on my dataset and I got the following output: It says the autocorrelation value is 0.04757039. But what does it mean? Question 2 ...
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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 ...
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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 ...
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Durbin-Watson Test and p-value

What should I do if the p-value in Durbin-Watson test is zero (using R)?
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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 ...
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Does sample size impact Breusch-Godfrey test results

I performed DW test (DW=4) and Godfrey test (Godfrey=4) on a small sample size (60 observations). The DW test results accept the null hypothesis (4 Pr0.05). However, for Godfrey test, only AR(1) ...
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Is it neccessary to test for serial correlation in a multi-level model

I am running a multi-level model looking at factors that explain attainment. There are pupil- and school-level predictors, and the school the pupil attends is modelled as a random effect. I have run ...
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How to proof that Durbin Watson statistics numerator is the covariance?

I read that: 1) The null hypothesis used is d=2, if et and et-1 are uncorrelated, et minus et-1 should have twice the variance of et itself. 2) the numerator of the statistics is covariance Are we ...
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R - is it ok to treat autocorrelation by randomly changing the order of variable [duplicate]

I'm working on a multivariate linear regression. I performed a Durbin-Watson test to test for auto-correlation and found it in my model (p-value <0.05 of Durbin Watson test). I then randomly ...
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what is a good value for Durbin-Watson test in regression models?

I have a D-W = 1.312 with a sample of 22 cases. Is it a good value for running a multiple linear regression model?
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durbinWatsonTest() in R for non time-series data

I am trying to understand whether the Durbin-Watson test is meaningful at all when applied to regression data that have no temporal order (eg. ...
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Durbin-Watson Statistics interpretation from Cochrane-Orcutt estimation

When I run the cochrane.orcutt() command from the package orcutt over my panel regression to reduce the autocorrelation problem, ...
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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 ...
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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 ...
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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 ...
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Boundary of the Durbin-Watson statistic [duplicate]

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 ...
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Durbin-Watson test and how to do normal Q-Q plot and normal P-P plot

In an experimental physics activity, I registered 5 values corresponding to 5 tests. The second column corresponds to the experimental value. The third column corresponds to the estimated value (the ...
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Autocorrelation test on hierarchical data turns insignificant?

I am running tests to show how multilevel modelling is superior to fixed effects when it comes to hierarchical data structures (clustered data: years and countries). I am using the dwtest (lmtest-...
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Interpretation of Durbin-Watson-Test in R

I receive the following results of a Durbin-Watson test in R. ...
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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 ...
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Durbin-watson test for autocorrelation

Also Durbin Watson test showed to be: Durbin-Watson D=1.672, Number of Obs=171, 1st order autocorrelation=0.162 Do I have autocorrelation problem?
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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(...
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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 ...
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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?
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Is there a package in R that calculates the Durbin-Watson test assuming a weighted regression? [closed]

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 ...
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