[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
Kit Baum <[email protected]> |

To |
[email protected] |

Subject |
st: distribution of DW stat |

Date |
Mon, 22 Nov 2004 19:55:17 -0500 |

John said

Does anyone know why the Durbin-Watson residual statistic is scaled from 0 to 4, rather than from perhaps -2 to 2?

Consult any econometrics textbook. Basically the statistic is \sum (e_it - e_it-1 )/ \sum e_it^2. The variance of the difference (a-b) is the sum of the variances minus twice the covariance, so if a,b are independent, the numerator is 2 \sigma^2 and the denominator is sigma^2 -> dw = 2. As \rho->+1, the covariance is a large positive number, and in the limit cancels out the variance, and dw->0. As \rho -> -1, the covariance is a large negative number which is similar to the variance, so the numerator -> 4 \sigma^2 and dw ->4.

Kit Baum, Boston College Economics

http://ideas.repec.org/e/pba1.html

*

* 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/

- Prev by Date:
**st: Re: printing problems: Graph in Word (Stata 8)** - Next by Date:
**st: graph in Word** - Previous by thread:
**st: RE: Stata Journal and piece of string variables** - Next by thread:
**st: graph in Word** - Index(es):

© Copyright 1996–2024 StataCorp LLC | Terms of use | Privacy | Contact us | What's new | Site index |