similar to: Durbin-Watson

Displaying 20 results from an estimated 1000 matches similar to: "Durbin-Watson"

1999 Dec 17
1
Fw: Durbin-Watson
> 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.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info",
2009 Aug 03
1
Comparison of Output from "dwtest" and "durbin.watson"
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,alternative="two.sided")
2005 May 19
1
Calculation of Durbin-Watson p-value
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]]
2002 Apr 19
4
Durbin-Watson test in packages "car" and "lmtest"
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 take a nap while the latter trying to calculated Durbin-Watson test. My question
2013 Nov 25
2
Durbin Watson Test Bound in R
Hi, How could I use R to check Durbin Watson Test Bound? Best, Rebecca
2011 Aug 12
1
Which Durbin-Watson is correct? (weights involved) - using durbinWatsonTest and dwtest (packages car and lmtest)
Hello! I have a data frame mysample (sorry for a long way of creating 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
2001 Jun 21
2
Durbin Watson stat for ser. corr
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 Houston, TX 77002
2009 Aug 05
2
Durbin-Watson
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
2004 Nov 02
2
Problems with Durbin Watson and Partial Residual Plots
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 NOT the case. Example:
2008 Jul 27
1
help with durbin.watson
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 here?
1998 Dec 16
0
durbin-watson-test
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)
2007 Mar 07
2
where can I find Durbin-Waston test tables for Confidence Level 2.5% or 0.5%?
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%
2010 Jul 11
1
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 [[alternative HTML version deleted]]
2006 Jan 09
1
brown, durbin , evans ( 1975 )
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 would like to see someone
2005 Jan 13
1
autocorrelation and levinson-durbin
hi, am trying to understand speex's algo. 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
2004 Jul 21
2
Testing autocorrelation & heteroskedasticity of residuals in ts
Hi, I'm dealing with time series. I usually use stl() to estimate trend, stagionality and residuals. I test for normality of residuals using shapiro.test(), but I can't test for autocorrelation and heteroskedasticity. Is there a way to perform Durbin-Watson test and Breusch-Pagan test (or other simalar tests) for time series? I find dwtest() and bptest() in the package lmtest, but it
2003 Jun 04
1
Error Using dwtest
Hello all- I have two time series, Index1stdiff and Comps1stdiff. I regressed the first on the second and R returned the summary stats I expected. Then I looked at and plotted the residuals. I then wanted to assess autocorrelation characteristics and tried to run a Durbin-Watson using: library(lmtest) dwtest(formula=Index1stdiff~Comps1stdiff,alternative=c("greater")) I am
2011 Jun 08
1
Autocorrelation in R
Hi, I am trying to learn time series, and I am attending a colleague's course on Econometrics. However, he uses e-views, and I use R. I am trying to reproduce his examples in R, but I am having problems specifying a AR(1) model. Would anyone help me with my code? Thanks in advance! Reproducible code follows: download.file("https://sites.google.com/a/proxima.adm.br/main/ex_32.csv
2011 Nov 20
2
I'm writing this letter to enquire where can I download the package of "lmtest".
Dear editor: I'm writing this letter to enquire where can I download the package of "lmtest". Can you send me this package? THanks a lot. Best regards, Shu-Fei Wu
2009 Oct 20
1
Systemfit package
  Dear Arne Henningsen,   I send you this message because I have question with regard to systemfit package. I hope you answer to my request.   I estimated a system of equation bu using SUR method. The function summary(xx) gives me summary of estimated equation system. However, this function does not give my the value of the durbin watson statistic  for each one of my equations (to chek for serial