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0.00
Durbin
Watson
Autocorrelation=
i.i.d.
tim
random
variables e
-0.3002
-1.2777
0.2443
1.2765
1.1984
1.7331
-2.1836
-0.2342
1.0950
-1.0867
-0.6902
-1.6904
-1.8469
-0.9776
-0.7735
-2.1179
-0.5679
-0.4040
0.1349
-0.3655
-0.3270
-0.3702
1.3426
-0.0853
-0.1862
-0.5132
1.9722
0.8657
2.3757
-0.6549
1.6615
-1.6124
0.5389
0.9022
1.9189
-0.0845
-0.5238
0.6751
-0.3813
0.7576
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
et
-0.3002
-1.2777
0.2443
1.2765
1.1984
1.7331
-2.1836
-0.2342
1.0950
-1.0867
-0.6902
-1.6904
-1.8469
-0.9776
-0.7735
-2.1179
-0.5679
-0.4040
0.1349
-0.3655
-0.3270
-0.3702
1.3426
-0.0853
-0.1862
-0.5132
1.9722
0.8657
2.3757
-0.6549
1.6615
-1.6124
0.5389
0.9022
1.9189
-0.0845
-0.5238
0.6751
-0.3813
0.7576
et
0.0901
1.6325
0.0597
1.6294
1.4360
3.0038
4.7681
0.0548
1.1991
1.1809
0.4764
2.8576
3.4111
0.9558
0.5983
4.4856
0.3225
0.1633
0.0182
0.1336
0.1069
0.1371
1.8027
0.0073
0.0347
0.2634
3.8896
0.7494
5.6437
0.4289
2.7604
2.5998
0.2905
0.8139
3.6822
0.0071
0.2744
0.4558
0.1454
0.5740
1.81
0.08
(et-et-1)2
3.0000
2.0000
1.0000
0.0000
12345678911111111112222222222333333333344444444445
01234567890123456789012345678901234567890
-1.0000
0.9554
2.3163
-2.0000
1.0655
0.0061
sc'ed errors over time
-3.0000
0.2860
15.3407
3.8002
1.7668
4.7599
0.1572
1.0005
worksheet).
0.0245
0.7557
0.0417
1.8075
2.4025
0.0269
0.2904
0.2503
0.0015 lower
upper
0.0019
2.9340
2.0390
0.0102
0.1070 Answer
6.1773
1.2244
2.2800
9.1843
5.3655
10.7181
4.6283
0.1319
1.0337
4.0137
upper
0.1930
1.4374
lower
1.1161
1.2972
lower
upper
0
-3
-2
-1
-1
-2
41
42
43
44
45
46
47
48
49
50
-1.4442
-0.8472
-1.5216
-0.3629
-0.0325
0.0281
-0.3227
2.1945
-1.7425
-0.7365
2.0857
0.7178
2.3152
0.1317
0.0011
0.0008
0.1041
4.8158
3.0362
0.5424
66.8947
4.8479
0.3563
0.4547
1.3426
0.1092
0.0037 Answer
0.1231
6.3364
15.4998
1.0120
121.0343
Answer
Answer
If A=-.3, dw=2.56.
Q: What can we conclude?
Answer
If A=-.15, dw=2.18.
Q: What can we conclude?
Answer
dlower
dupper
indeterminate
2
no serial correlation
4-dupper 4-dlower
indeterminate
4
negative
serial
correlation
an Error Plot?
3
0
-3
-2
-1
-1
-2
erial Correlation?
n we must calculate a
ee Calculating dw
ull hypothesis.
ternative hypothesis.
t is inconclusive.
.
here?
relation.
ive serial correlation.
terminate
4
negative
serial
correlation
The Durbin-Watson test requires one to calculate the Durbin-Watson statistic, described on p. 180, equation 5.15 (reproduced
below). Unfortunately, this statistic is not part of Excel's regression output, but it can be calculated from that output. First, click
residuals when running the regression. This gives the residual terms from which dw (the text uses d) can be calculated. The
denominator is simply the Sum of Squared Residuals from the ANOVA table in Excel's regression output.
( et et 1 )2
dw=
t =2
e 2t
The residuals on the Main worksheet are not based on an actual regression, therefore the sum of squared residuals must be
t =1
calculated from the residuals themselves. The residuals are in cells C6:C55; the squared residuals are in D6:D55; and the sum
these squared residuals, the denominator of the DW fraction, is in cell C56.
The numerator of the DW statistic is the sum across time periods 2 to n of the squared differences between sucessive residual
This is calculated for each time period in cells E7:E55 and the sum is calculated in E56. The resulting Durbin-Watson statistic
calculated in cell E3 as DW = E56/D56.
An alternative method of calculation is possible, but it is not as hueristic. This calculation uses two of the functions available us
the function key, fx, on Excel's Standard Tool Bar (these are in the Math & Trig section of the paste function). This is not the
suggested way to calculate the dw statistic, but is provided for those who feel comfortable with using the special functions on th
function key. The two functions are: SUMXMY2(), the sum of squared differences between X and Y; and SUMSQ(), the sum of
squares. The Durbin-Watson statistic is calculated in cell A27 below, using these functions.
A=
0.00
Autocorrelation=
iid errors
-0.3002322
-1.2776832
0.2442573
1.2764735
1.1983502
1.7331331
-2.1835876
-0.2341812
1.0950225
-1.0867006
-0.6902042
-1.6904323
-1.8469109
-0.9776295
-0.7735071
-2.1179312
-0.5679249
-0.4040476
0.1348531
-0.365493
-0.3269906
-0.3702405
1.3426416
-0.0852845
-0.1861576
-0.5132074
1.972212
0.865673
2.3756547
-0.6549067
1.6614558
-1.6123977
0.5389484
0.9021915
1.9189156
-0.0845171
-0.5237951
0.6751384
-0.3813238
0.7576114
-1.4441866
-0.8472375
-1.521571
sc'ed error
-0.300232159
-1.277683168
0.2442573077
1.2764735402
1.1983502191
1.7331331037
-2.18358764
-0.234181243
1.095022526
-1.086700649
-0.69020416
-1.690432327
-1.846910891
-0.977629497
-0.773507054
-2.1179312171
-0.567924872
-0.404047569
0.1348530532
-0.365492951
-0.32699063
-0.370240514
1.3426415535
-0.085284455
-0.186157649
-0.513207397
1.972211976
0.8656729733
2.3756547307
-0.6549066711
1.6614558263
-1.612397682
0.5389483704
0.9021914593
1.9189155864
-0.084517069
-0.523795052
0.6751383808
-0.381323844
0.7576113603
-1.444186637
-0.847237516
-1.521570994
0.08
lagged error
-0.30023216
-1.27768317
0.24425731
1.27647354
1.19835022
1.7331331
-2.18358764
-0.23418124
1.09502253
-1.08670065
-0.69020416
-1.69043233
-1.84691089
-0.9776295
-0.77350705
-2.11793122
-0.56792487
-0.40404757
0.13485305
-0.36549295
-0.32699063
-0.37024051
1.34264155
-0.08528446
-0.18615765
-0.5132074
1.97221198
0.86567297
2.37565473
-0.65490667
1.66145583
-1.61239768
0.53894837
0.90219146
1.91891559
-0.08451707
-0.52379505
0.67513838
-0.38132384
0.75761136
-1.44418664
-0.84723752
1
0
-3
-2
-1
0
-1
-2
-3
-0.362877
-0.0324792
0.028117
-0.322716
2.1945016
-1.7424827
-0.736477
-0.362877017
-0.032479193
0.0281170287
-0.322716005
2.194501576
-1.742482709
-0.736476977
-1.52157099
-0.36287702
-0.03247919
0.02811703
-0.32271601
2.19450158
-1.74248271
rror