search for: durbin

Hi, P-values in Durbin-Watson test obtained through the use of functions available in packages "lmtest" and "car" are different. The difference is quite significant. function "dwtest" in "lmtest" is much faster than "burbinwatson" in "car". Actually, you can tak...

Hi, I ran an experiment with 3 factors, 2 levels and 200 replications and as I want to test for residuals independence, I used Durbin-Watson in R. I found two functions (durbin.watson and dwtest) and while both are giving the same rho, the p-values are greatly differ: > durbin.watson(mod1) lag Autocorrelation D-W Statistic p-value 1 -0.04431012 2.088610 0.012 Alternative hypothesis: rho != 0 > dwtest(mod1)...

Should "dwtest" and "durbin.watson" be giving me the same DW statistic and p-value for these two fits? library(lmtest) 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,a...

I am trying to evaluate a model by using the commands durbin.watson and cr.plot. However, I keep getting errors that I can't figure out. A description follows. Does anyone have a hint as to what may be wrong? 1)The Durbin Watson Test. In running the command I kept getting the message "residuals include missing values" when actually this was...

Sir,   I am unable to get the source code for Durbin-Watson test, as I want to calculate the p-value for Durbin Watson statistic using interpolation method. I sent this mail to r-help, but it was rejected, please suggest me some way. I will be highly greatful to you. Thanks in advance Ramesh [[alternative HTML version deleted]]

Hi, How could I use R to check Durbin Watson Test Bound? Best, Rebecca

...5, 5.91, 4.33, 30.58, 30.14, 16.92, 23.19, 26.74, 10.91, 25.24, 33.52, 25.45, 18.85, 20.45, 26.67, 4.44, 7.94, 4.04, 4.4, 4.23, 4.36, 29.41, 30.72, 32.92, 28.23, 23.35, 12, 38.87, 33.12, 39.15, 28.06, 38.23, 26.65),nrow=6, ncol=6, dimnames=list(1:6,LETTERS[1:6])) print(y) friedman.test(y) durbin.test(y) RESULTADO Friedman rank sum test data: y Friedman chi-squared = 23.333, df = 5, p-value = 0.0002915 > durbin.test(y) Durbin rank sum test data: y Durbin chi-squared = 23.333, df = 5, p-value = 0.0002915 =============================== Me pregunto porque no obtengo ese resultado al...

...eating it below - but I need it in this form, and it works). I regress Y onto X1 through X11 - first without weights, then with weights: regtest1<-lm(Y~., data=mysample[-13])) regtest2<-lm(Y~., data=mysample[-13]),weights=mysample$weight) summary(regtest1) summary(regtest2) Then I calculate Durbin-Watson for both regressions using 2 different packages: library(car) library(lmtest) durbinWatsonTest(regtest1)[2] dwtest(regtest1)$stat durbinWatsonTest(regtest2)[2] dwtest(regtest2)$stat When there are no weights, the Durbin-Watson statistic is the same. But when there are weights, 2 packages...

Dear R People: Do any of the linear model or regression function calculate the Durbin-Watson test statistic for serial correlation, please? I found the hat matrix, studentized residuals, and so on, but no D-W. Thanks so much! Sincerely, Erin M. Hodgess, Ph.D. Associate Professor Department of Computer and Mathematical Sciences University of Houston - Downtown One Main Street Hou...

Hi, I have two time series, y and x. Diff(y) and Diff(x) both show no autocorrelation. But durbin.watson(lm(Diff(y)~lag(Diff(x),k=-4)) gives a DW value of zero. How come the residule is autocorrelated while Diff(y) and Diff(x) are not? Does anyone know if in my case a DW of zero indicates serial correlation, or is it telling me that the DW statistics is not the appropriate statistics to use her...

...[15] brew_1.0-6 Hmisc_3.9-3 [17] survival_2.36-12 MASS_7.3-17 loaded via a namespace (and not attached): [1] cluster_1.14.2 digest_0.5.2 tools_2.15.0 # copy and paste the following: library( catdata ) data( unemployment ) unempt <- unemployment unempt$durbin <- unempt$durbin - 1 library( reshape ) unempt <- melt( table( unempt ) ) unempw <- cast( unempt, age ~ durbin ) names( unempw ) <- c( 'age', 'short', 'long' ) modt <- glm( durbin ~ age, weights = value, family = binomial, data = unempt ) modw <- glm( cbin...

Does R have a function for the Durbin-Watson test? ......................................................... Steven Scroggin scrog at lvcm.com -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help&q...

> Does R have a function for the Durbin-Watson test? > ......................................................... Is there a version of package lmtest for Win 9x? > Steven Scroggin > scrog at lvcm.com > -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.c...

Does anyone know where I can get R code for plotting the Brown , Durbin and Evans cumsum procedure ( 1975 ) ? I wrote my own code but I am a little worried that my confiodence bands may not be correct ( I find the formula in the original paper confusing and S+Finmetrics has a formula but that formula implies that there should be 4 lines as far as I can tell ) so I wo...

Dear all, I am new here ,I attempted to use R to estimate the spatial Durbin (mixed) model,and mydata is a panel data form,and the matrix is generated by geoda software ,here is my Command and error,really hope your help ,thank you! #??gal library(spdep) w<- read.gal("E:/splm/zj.GAL",override.id=TRUE) ww<-nb2listw(w,zero.policy=TRUE) #???? library(foreign)...

.... have a few questions. 1) autocorrelation: in the function, _spx_autocorr (for floating point version), there is a line ac[0] += 10; correct me if i am wrong, i suppose the addition of 10 is used to condition the autocorrelation matrix. wonder how the value of 10 is arrived at? 2) levinson durbin (LD) algo in the function _spx_lpc, i referred to some LD algo online. am puzzled with the reflection coefficient's computation. from the code, i understand it to be r = [- Rxx(i) - sum(lpc*Rxx)] / [error + 0.003* Rxx(0)] first question is why is negative of Rxx(i) added? from the resource...

...prediction order: 0, 4 [flac @ 0000000002c2ff60] order method: estimate [flac @ 0000000002c2ff60] partition order: 0, 3 [flac @ 0000000002c2ff60] block size: 1152 [flac @ 0000000002c2ff60] lpc precision: 15 [flac @ 0000000002bfff60] compression: 3 [flac @ 0000000002bfff60] lpc type: Levinson-Durbin recursion with Welch window [flac @ 0000000002bfff60] prediction order: 1, 6 [flac @ 0000000002bfff60] order method: estimate [flac @ 0000000002bfff60] partition order: 0, 3 [flac @ 0000000002bfff60] block size: 4608 [flac @ 0000000002bfff60] lpc precision: 15 [flac @ 0000000002b2ff60] compr...

Hi all, I am doing a two-sided DW test: H0: rho = 0 H1: rho =/= 0 My understanding is that most test statistics tables are one-sided. It's the way they created the table. So from online, by doing Googling, I found a bunch of DW tables for Confidence Level 5%. Those tables can answer my two-sided question at 5x2 = 10% confidence level. But what if I want two-sided test at 1% and 5%

Hello everyone, a simple quaestion: Are there regression diagnostics for autocorrelation like the durbin-watson-test in R? Wouldn't this be usefull? CHRISTOPH ********************************************************* Christoph Kalinowski Catholic University of Eichstaett Department of Business Administration Auf der Schanz 49 D-85049 Ingolstadt Germany Phone: (++)-841-937-1847 (my office)...

Dear users of the R program, is there one package containing the durbin-h test of autocorrelation of the residuals of linear models in the case of time-lagged endogeneous variables? With many thanks for any hint Albrecht Kauffmann -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~...