DW检验ppt.ppt

‘Introductory Econometrics for Finance’© Chris Brooks 2002
1
Detecting Autocorrelation:The Durbin-Watson Test
The Durbin-Watson (DW) is a test for first order autocorrelation - . it assumes that the relationship is between an error and the previous one
ut = ut-1 + vt (1)
where vt  N(0, v2).
The DW test statistic actually tests
H0 : =0 and H1 : 0
The test statistic is calculated by
‘Introductory Econometrics for Finance’© Chris Brooks 2002
2
The Durbin-Watson Test: Critical Values
We can also write
(2)
where is the estimated correlation coefficient. Since is a correlation, it implies that .
Rearranging for DW from (2) would give 0DW4.

If = 0, DW = 2. So roughly speaking, do not reject the null hypothesis if DW is near 2  . there is little evidence of autocorrelation
Unfortunately, DW has 2 critical values, an upper critical value (du) and a lower