[R] Durban Watson statistics
Achim Zeileis
Achim.Zeileis at uibk.ac.at
Sun Jul 11 19:03:34 CEST 2010
On Sun, 11 Jul 2010, Leigh E. Lommen wrote:
>
> I would like to do the Durban-Watson test on a time series of log returns.
> 2 questions:
> 1) If I am just trying to find out if there is serial correlation,
> what do I do for the residuals? there is no model, so do I just
> use the log returns (time series) itself?
Test a regression model with an intercept only.
> 2) what is the code in R to accomplish this?
There is dwtest() in the "lmtest" package which employs the exact or
asymptotic distribution for computing the p-value (both under normality)
or durbin.watson() in "car" which employs a bootstrap approach.
Note that there are also various other tests for serial correlation
around, e.g., the Breusch-Pagan test in bptest() from "lmtest" among many
others.
Best,
Z
> Regards
>
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>
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