[R] Comparison of Output from "dwtest" and "durbin.watson"
Tom La Bone
booboo at gforcecable.com
Tue Aug 4 15:18:31 CEST 2009
Allow me to reword this question. I have performed two fits to the same set
of data below: a weighted fit and an unweighted fit. I performed the
Durbin-Watson tests on each fit using "dwtest" and "durbin.watson". For a
given fit (weighted or unweighted), should both dwtest and durbin.watson be
giving me the same DW statistic and p-value? Should I get the same DW
statistic and p-value for the weighted and unweighted fits as I do using
dwtest?
> library(lmtest)
Loading required package: zoo
Attaching package: 'zoo'
The following object(s) are masked from package:base :
as.Date.numeric
> library(car)
> X <- c(4.8509E-1,8.2667E-2,6.4010E-2,5.1188E-2,3.4492E-2,2.1660E-2,
+ 3.2242E-3,1.8285E-3)
> Y <- c(2720,1150,1010,790,482,358,78,35)
> W <- 1/Y^2
>
> fit <- lm(Y ~ X - 1)
> dwtest(fit,alternative="two.sided")
Durbin-Watson test
data: fit
DW = 0.7599, p-value = 0.05935
alternative hypothesis: true autocorelation is not 0
> durbin.watson(fit,alternative="two.sided")
lag Autocorrelation D-W Statistic p-value
1 0.5897666 0.7599161 0.368
Alternative hypothesis: rho != 0
>
> fit <- lm(Y ~ X - 1,weights=W)
> dwtest(fit,alternative="two.sided")
Durbin-Watson test
data: fit
DW = 0.7599, p-value = 0.05935
alternative hypothesis: true autocorelation is not 0
> durbin.watson(fit,alternative="two.sided")
lag Autocorrelation D-W Statistic p-value
1 -0.07663672 1.209076 0.77
Alternative hypothesis: rho != 0
>
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