I think that the durbin alternative( durbina)
will give you the p value and that should be
functionally equivalent.
Robert A. Yaffee, Ph.D.
Research Professor
Shirley M. Ehrenkranz
School of Social Work
New York University
home address:
Apt 19-W
2100 Linwood Ave.
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
[email protected]
----- Original Message -----
From: "Steichen, Thomas J." <[email protected]>
Date: Friday, May 5, 2006 10:49 am
Subject: st: RE: durbin watson
> Rudy Fichtenbaum writes:
> >
> > Does Stata have a way of calculating the p-value for a Durbin-
> Watson
> > statistic? SAS does this and it is a lot easier for students
> because
> > they don't have to rely on a Durbin-Watson table which can
> > result in the test being inconclusive.
>
> FORTRAN algorithm AS 153 is available for the p-value (copied
> below). Are you (or anyone else) brave enough to translate it to Mata
> code? It is known to be slow, even in compiled code!
>
> Tom
>
> DOUBLE PRECISION FUNCTION GRADSOL(A, M, C, N)
> C
> C TRANSLATION OF AMENDED VERSION OF APPLIED STATISTICS ALGORITHM
> C AS 153 (AS R52), VOL. 33, 363-366, 1984.
> C BY R.W. FAREBROTHER (ORIGINALLY NAMED GRADSOL OR PAN)
> C
> C GRADSOL EVALUATES THE PROBABILITY THAT A WEIGHTED SUM OF
> C SQUARED STANDARD NORMAL VARIATES DIVIDED BY X TIMES THE
> UNWEIGHTEDC SUM IS LESS THAN A GIVEN CONSTANT, I.E. THAT
> C A1.U1**2 + A2.U2**2 + ... + AM.UM**2 <
> C X*(U1**2 + U2**2 + ... + UM**2) + C
> C WHERE THE U'S ARE STANDARD NORMAL VARIABLES.
> C FOR THE DURBIN-WATSON STATISTIC, X = DW, C = 0, AND
> C A ARE THE NON-ZERO EIGENVALUES OF THE "M*A" MATRIX.
> C
> C THE ELEMENTS A(I) MUST BE ORDERED. A(0) = X
> C N = THE NUMBER OF TERMS IN THE SERIES. THIS DETERMINES THE
> C ACCURACY AND ALSO THE SPEED. NORMALLY N SHOULD BE ABOUT 10-15.
> C --------------
> C ORIGINALLY FROM STATLIB. REVISED 5/3/1996 BY CLINT CUMMINS:
> C 1. DIMENSION A STARTING FROM 0 (FORTRAN 77)
> C IF THE USER DOES NOT INITIALIZE A(0) = X,
> C THERE WOULD BE UNPREDICTABLE RESULTS, SINCE A(0) IS ACCESSED
> C WHEN J2=0 FOR THE FINAL DO 60 LOOP.
> C 2. USE X VARIABLE TO AGREE WITH PUBLISHED CODE
> C 3. FIX BUG 2 LINES BELOW DO 60 L2 = J2, NU, D
> C PROD = A(J2) --> PROD = A(L2)
> C (PRIOR TO THIS FIX, ONLY THE TESTS WITH M=3 WORKED CORRECTLY)
> C 4. TRANSLATE TO UPPERCASE AND REMOVE TABS
> C TESTED SUCCESSFULLY ON THE FOLLOWING BENCHMARKS:
> C 1. FAREBROTHER 1984 TABLE (X=0):
> C A C PROBABILITY
> C 1,3,6 1 .0542
> C 1,3,6 7 .4936
> C 1,3,6 20 .8760
> C 1,3,5,7,9 5 .0544
> C 1,3,5,7,9 20 .4853
> C 1,3,5,7,9 50 .9069
> C 3,4,5,6,7 5 .0405
> C 3,4,5,6,7 20 .4603
> C 3,4,5,6,7 50 .9200
> C 2. DURBIN-WATSON 1951/71 SPIRITS DATASET, FOR
> X=.2,.3,...,3.8, C=0
> C COMPARED WITH BETA APPROXIMATION (M=66), A SORTED IN
> REVERSE ORDER
> C 3. JUDGE, ET AL 2ND ED. P.399 DATASET, FOR X=.2,.3,...,3.8, C=0
> C COMPARED WITH BETA APPROXIMATION (M=8), A SORTED IN
> EITHER ORDER
> C
> INTEGER M, N
> DOUBLE PRECISION A(0:M), C, X
> C
> C LOCAL VARIABLES
> C
> INTEGER D, H, I, J1, J2, J3, J4, K, L1, L2, NU, N2
> DOUBLE PRECISION NUM, PIN, PROD, SGN, SUM, SUM1, U, V, Y
> DOUBLE PRECISION ZERO, ONE, HALF, TWO
> DATA ZERO/0.D0/, ONE/1.D0/, HALF/0.5D0/, TWO/2.D0/
> C
> C SET NU = INDEX OF 1ST A(I) >= X.
> C ALLOW FOR THE A'S BEING IN REVERSE ORDER.
> C
> IF (A(1) .GT. A(M)) THEN
> H = M
> K = -1
> I = 1
> ELSE
> H = 1
> K = 1
> I = M
> ENDIF
> X = A(0)
> DO 10 NU = H, I, K
> IF (A(NU) .GE. X) GO TO 20
> 10 CONTINUE
> C
> C IF ALL A'S ARE -VE AND C >= 0, THEN PROBABILITY = 1.
> C
> IF (C .GE. ZERO) THEN
> GRADSOL = ONE
> RETURN
> ENDIF
> C
> C SIMILARLY IF ALL THE A'S ARE +VE AND C <= 0, THEN PROBABILITY
> = 0.
> C
> 20 IF (NU .EQ. H .AND. C .LE. ZERO) THEN
> GRADSOL = ZERO
> RETURN
> ENDIF
> C
> IF (K .EQ. 1) NU = NU - 1
> H = M - NU
> IF (C .EQ. ZERO) THEN
> Y = H - NU
> ELSE
> Y = C * (A(1) - A(M))
> ENDIF
> C
> IF (Y .GE. ZERO) THEN
> D = 2
> H = NU
> K = -K
> J1 = 0
> J2 = 2
> J3 = 3
> J4 = 1
> ELSE
> D = -2
> NU = NU + 1
> J1 = M - 2
> J2 = M - 1
> J3 = M + 1
> J4 = M
> ENDIF
> PIN = TWO * DATAN(ONE) / N
> SUM = HALF * (K + 1)
> SGN = K / DBLE(N)
> N2 = N + N - 1
> C
> C FIRST INTEGRALS
> C
> DO 70 L1 = H-2*(H/2), 0, -1
> DO 60 L2 = J2, NU, D
> SUM1 = A(J4)
> C FIX BY CLINT CUMMINS 5/3/96
> C PROD = A(J2)
> PROD = A(L2)
> U = HALF * (SUM1 + PROD)
> V = HALF * (SUM1 - PROD)
> SUM1 = ZERO
> DO 50 I = 1, N2, 2
> Y = U - V * DCOS(DBLE(I)*PIN)
> NUM = Y - X
> PROD = DEXP(-C/NUM)
> DO 30 K = 1, J1
> PROD = PROD * NUM / (Y - A(K))
> 30 CONTINUE
> DO 40 K = J3, M
> PROD = PROD * NUM / (Y - A(K))
> 40 CONTINUE
> SUM1 = SUM1 + DSQRT(DABS(PROD))
> 50 CONTINUE
> SGN = -SGN
> SUM = SUM + SGN * SUM1
> J1 = J1 + D
> J3 = J3 + D
> J4 = J4 + D
> 60 CONTINUE
> C
> C SECOND INTEGRAL.
> C
> IF (D .EQ. 2) THEN
> J3 = J3 - 1
> ELSE
> J1 = J1 + 1
> ENDIF
> J2 = 0
> NU = 0
> 70 CONTINUE
> C
> GRADSOL = SUM
> RETURN
> END
>
> -----------------------------------------
> CONFIDENTIALITY NOTE: This e-mail message, including any
> attachment(s), contains information that may be confidential,
> protected by the attorney-client or other legal privileges, and/or
> proprietary non-public information. If you are not an intended
> recipient of this message or an authorized assistant to an intended
> recipient, please notify the sender by replying to this message and
> then delete it from your system. Use, dissemination, distribution,
> or reproduction of this message and/or any of its attachments (if
> any) by unintended recipients is not authorized and may be
> unlawful.
>
>
> *
> * 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/
>
*
* 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/
