Re: [R] help with durbin.watson

From: John Fox <jfox_at_mcmaster.ca>
Date: Mon, 28 Jul 2008 17:48:09 -0400

Dear Tom,

It is in principle possible for residuals to be autocorrelated even when the series for the response variable is not. Moreover, the DW test should be appropriate for the model you fit. On the other hand, a DW statistic of 0 suggests perfect positive autocorrelation, and so I would suspect that something has gone wrong. Without the data, it's not possible to be more specific. If you haven't already looked at the residuals, I'd do so now.

Regards,
 John



John Fox, Professor
Department of Sociology
McMaster University
Hamilton, Ontario, Canada
web: socserv.mcmaster.ca/jfox

> -----Original Message-----
> From: r-help-bounces_at_r-project.org [mailto:r-help-bounces_at_r-project.org]
On
> Behalf Of tom soyer
> Sent: July-27-08 4:33 PM
> To: r-help_at_r-project.org
> Subject: [R] 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?
>
> Thanks,
>
> --
> Tom
>
> [[alternative HTML version deleted]]
>
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