Why cant durbin watson be used for ar models?

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Jeramie Oberbrunner asked a question: Why cant durbin watson be used for ar models?
Asked By: Jeramie Oberbrunner
Date created: Fri, Mar 5, 2021 9:57 PM
Date updated: Mon, Jan 10, 2022 4:16 AM

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One important drawback of the Durbin-Watson test is that it must not be applied to models that already contain autoregressive effects. Thus, you cannot test for remaining residual autocorrelation after partially capturing it in an autoregressive model.

Durbin-Watson Test One way to test to determine whether autocorrelation is present in a time-series regression analysis is by using the Durbin-Watson test for autocorrelation. D = P n t=2 (e t e t 1) 2 P n t=1 e 2 where n = the number of observations. Al Nosedal University of Toronto The Autocorrelation Function and AR(1), AR(2) Models January 29, 2019 4 / 82

The Durbin–Watson test is used to determine whether the error term in a linear regression model follows an AR(1) process. For the linear model y t= x t +u t the AR(1) process can be written as u t= ˆu t 1 + t In general, an AR(1) process requires only that t be independent and identically distributed (i.i.d.). The Durbin–Watson test, however, requires

Durbin-Watson Significance Tables The Durbin-Watson test statistic tests the null hypothesis that the residuals from an ordinary least-squares regression are not au tocorrelated against the alternative that the residuals follow an AR1 process. The Durbin -Watson statistic ranges in value from 0 to 4.

For a random effects model, no Durbin-Watson is printed after model estimation and the statistic/p-value is not offered in the menu (via Tests -> Durbin-Watson p-value). I think in the RE case you don't have the residuals you need to compute the DW. Because you don't estimate the unit-specific intercepts per se, you just estimate its variance.

Looking on Wikipedia, it seems like the Durbin-Watson test is for autocorrelation of residuals, not for correlation. So, if I define r2 <- r1 + sin (r1), then I get a significant result from the DW test: > r1 <- seq (0, 1000, by=1) > r2 <- r1 + sin (r1) > dwtest (lm (r2 ~ r1)) Durbin-Watson test data: lm (r2 ~ r1) DW = 0.91956, p-value < 2.2e-16 ...

The Durbin Watson (DW) statistic is a test for autocorrelation in the residuals from a statistical regression analysis. The Durbin-Watson statistic will always have a value between 0 and 4.

Unfortunately, you may not be able to do such a static table since D-W statistic depends on the model structure and residuals. See R: Calculate p-value given Durbin Watson statistic and n. This screenshot may be used for approximation given a n and k. – Parfait Jun 8 at 21:28

Maddala's argument against the Ljung-Box test is the same as the one raised against another omnipresent autocorrelation test, the "Durbin-Watson" one: with lagged dependent variables in the regressor matrix, the test is biased in favor of maintaining the null hypothesis of "no-autocorrelation" (the Monte-Carlo results obtained in @javlacalle answer allude to this fact).

The Durbin Watson statistic is a test statistic used in statistics to detect autocorrelation in the residuals from a regression analysis. The Durbin Watson statistic will always assume a value between 0 and 4. A value of DW = 2 indicates that there is no autocorrelation. One important way of using the test is to predict the price movement of a ...

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