Re: [R] Exact distribution, dwtest

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From: Achim Zeileis (zeileis@ci.tuwien.ac.at)
Date: Mon 12 Nov 2001 - 03:49:01 EST 

Message-id: <3BEEABFD.A26F249B@ci.tuwien.ac.at>

John Janmaat wrote:
>
> Hello All,
>
> Some time ago I enquired about the Durbin-Watson statistic. The package
> 'lmtest' calculates the statistic, but reports NA on the P value. Is
> there a package in R that calculates the exact distribution of the 'd'
> statistic?

In the package "car" there is a version of the test in the function
durbin.watson(), that computes the p-value by bootstrapping.
In the next version of "lmtest" (hopefully out on CRAN by the end of the
month) dwtest() will have p-values as well - not based on bootstrapping,
but on the "gradsol" or "pan" algorithm. If you like, I can send you a
snapshot of the forthcoming "lmtest" package.
Z

> Thanks,
>
> John.
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