dwtest {lmtest} | R Documentation |
dwtest
performs the Durbin-Watson-Test on autocorrelation of
disturbances.
dwtest(formula, data=list())
formula |
a symbolic describtion for the model to be tested |
data |
an optional data frame containing the variables in the model. By default the variables are taken from the environment which 'dwtest' is called from |
"htest"
containing the following components:
statistic |
the value of the test statistic. |
p.value |
the null distribution depends on X and is hardly trackable, so p.value is NA |
method |
a character string indicating what type of test was performed. |
data.name |
a character string giving the name(s) of the data. |
Torsten Hothorn <Torsten.Hothorn@rzmail.uni-dortmund.de>
Kraemer, W., Sonnberger, H. (1986): The linear regression model under test
x <- c(1:30); ut <- c(1:30); # creating a ARMA(1) process for(i in (2:30)) { ut[i] <- 1 * ut[i-1] + rnorm(1,0,2); } y <- x + ut; dw <- dwtest(y ~ x);