[R] help with durbin.watson

From: tom soyer <tom.soyer_at_gmail.com>
Date: Sun, 27 Jul 2008 15:32:41 -0500


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?

Thanks,

-- 
Tom

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