# Questions tagged [durbin-watson-test]

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

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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 ...
29 views

### 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 ...
17 views

### Problem with Assumptions of Panel data with random effects

I am studying with a Panel data 316 of observations and 73 groups. First, when I examine the homoskedasticity issue, I got following results with df(72,243) by using Levene et al. Test: W0: 2.5 (Pr>F =...
382 views

### Durbin-Watson Test and p-value

What should I do if the p-value in Durbin-Watson test is zero (using R)?
21 views

### DW critical value for more than 200 sample

does anyone know what is the dU & dL value in DW test for 252 sample? And how to calculate the DW critical value in Ms Excel? In ref., i only found for less than 200 samples. I need your help guys,...
31 views

### Choosing between two econometric models

I created an initial model log(Consumption) = a + b*log(GDP), which showed strong evidence of autocorrelation and heteroscedasticity. I've created two different models to address this but I'm ...
54 views

### 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 ...
78 views

### 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) ...
154 views

### 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 ...
235 views

### 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 ...
133 views

### 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 ...
2k views

### 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?
889 views

### 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. ...
500 views

### 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, ...
4k views

### 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 ...
385 views

### 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 ...
248 views

### 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 ...
24 views

### 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 ...
212 views

### 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 ...
91 views

### 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-...
721 views

### Interpretation of Durbin-Watson-Test in R

I receive the following results of a Durbin-Watson test in R. ...
1k views

### 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 ...
1k views

### 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?
1k views

### 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(...
1k views

### 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 ...