Durbin-Watson Test

AKA: Durbin–Watson Statistic.
See: Ljung–Box Test, Breusch–Godfrey Test, Portmanteau Test, Dickey–Fuller Test, Phillips–Perron Test, KPSS Test, Augmented Dickey–Fuller Test, Time Series Analysis.

References

(Wikipedia, 2016) ⇒ http://en.wikipedia.org/wiki/Durbin-Watson_test Retrieved 2016-08-07
- In statistics, the Durbin–Watson statistic is a test statistic used to detect the presence of autocorrelation (a relationship between values separated from each other by a given time lag) in the residuals (prediction errors) from a regression analysis. It is named after James Durbin and Geoffrey Watson. The small sample distribution of this ratio was derived by John von Neumann (von Neumann, 1941). Durbin and Watson (1950, 1951) applied this statistic to the residuals from least squares regressions, and developed bounds tests for the null hypothesis that the errors are serially uncorrelated against the alternative that they follow a first order autoregressive process. Later, John Denis Sargan and Alok Bhargava developed several von Neumann–Durbin–Watson type test statistics for the null hypothesis that the errors on a regression model follow a process with a unit root against the alternative hypothesis that the errors follow a stationary first order autoregression (Sargan and Bhargava, 1983). Note that the distribution of this test statistic does not depend on the estimated regression coefficients and the variance of the errors.

A similar assessment can be also carried out with the Breusch–Godfrey test and the Ljung–Box test.