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DurbinWatsonD

DurbinWatsonD
is a possible value for the RegressionReport option for Regress and DesignedRegress which represents the Durbin-Watson d statistic for autocorrelation.

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To use DurbinWatsonD, you first need to load the Regression Common Functions Package. You can do this by using Needs["LinearRegression`"], which will automatically load the Regression Common Functions Package, or you can load the package directly by using Needs["RegressionCommon`"].

DurbinWatsonD tests for the existence of a first order autoregressive process.

A value close to 0 indicates positive correlation, and a value close to 4 indicates negative correlation.

EXAMPLES

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Basic Examples (1)

Needs["LinearRegression`"]

Sample data:

In[2]:=

DurbinWatsonD for a linear regression:

In[3]:=

Out[3]=