Using gret l for Principles of Econometrics, 4th Edition

Durbin-Watson Test

The Durbin-Watson statistic is produced with every time-series regression estimated by least squares. To access the p-value associated with the test, which is computed using the Imhoff procedure, use the accessor $dwpval. An example based on the Phillips curve is:

1 open "@gretldirdatapoephillips_aus. gdt"

2 diff u

3 setinfo inf - d "Australian Inflation Rate" - n "Inflation Rate"

4 setinfo d_u - d "Change in Australian Civilian Unemployment Rate

5 (Seasonally adjusted)" - n "D. Unemployment Rate"

6 ols inf d_u const

7 scalar dw_p = $dwpval

8 print dw

The result, including the last line of the regression output that shows the estimated value of p and the DW statistic, is:

Подпись: rho0.549882 Durbin-Watson 0.887289

dw_p = 2.1981736e-009

image327

The DW statistic is 0.887 and its p-value is well below the 5% threshold, indicating significant autocorrelation. The GUI gives a slightly prettier result. It has to be called from the model window as Tests>Durbin-Watson p-value.

Many interpret a significant DW statistic as evidence of general model misspecification.

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