[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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