Durbin-Watson-Test
Usage
raintest(formula, data=list())
Arguments
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
|
Description
dwtest
performs the Durbin-Watson-Test on autocorrelation of
disturbances.Value
A list with class "htest"
containing the following components:
statistic
|
the value of the test statistic.
|
p.value
|
the p-value of the test
|
method
|
a character string indicating what type of test was
performed.
|
data.name
|
a character string giving the name(s) of the data.
|
Author(s)
Torsten Hothorn <hothorn@amadeus.statistik.uni-dortmund.de>References
Kraemer, W., Sonnberger, H. (1986): The linear regression model
under testSee Also
lm
Examples
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);