Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: Durbin-Watson


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Durbin-Watson
Date   Mon, 22 Nov 2004 16:03:58 -0500

On Mon, 22 Nov 2004 12:22:51 -0500, Zoo Station <u2zoo@bellsouth.net> wrote:
> Does anyone know why the Durbin-Watson residual statistic is scaled
> from 0 to 4, rather than from perhaps -2 to 2?

It is not scaled in any special way. If you look at the definition of
the DW statistic, the value of 2 comes as an expected value under
independence, the value of 0, when the series is a deterministic
constant with no noise, etc. Remember it was coming from those days
where each second of computer time was worth a dollar, and a dollar in
the 60s was worth ten times more it does now, so keeping the number of
operations small was crucial. So, no rescaling of the original ratio
of the two sums was seen relevant at that time point.

And it is also a good idea to edit the subject line, too.

-- 
Stas Kolenikov
http://stas.kolenikov.name
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index