R help - Jul 2010 - Durban Watson statistics

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?
    2) what is the code in R to accomplish this?

Regards

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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
>
> 	[[alternative HTML version deleted]]
>
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