Calcolatore Durbin-Watson

Calcola la statistica di Durbin-Watson per rilevare autocorrelazione nei residui di regressione.

Durbin-Watson Statistic

0.900000

Approx Autocorrelation0.5500

Durbin-Watson Statistic vs Sum of (et - et-1) squared

Vedi formula →

Formula

Durbin-Watson Test

DW = Sum(et - et-1)^2 / Sum(et^2)

DW near 2 = no autocorrelation. DW < 2 = positive, DW > 2 = negative.

Esempio Risolto

Sum diff sq=45, sum e sq=50.

  1. 01DW = 0.90
  2. 02Positive autocorrelation

Domande Frequenti

Good DW value?

Close to 2 means no autocorrelation.

What causes autocorrelation?

Omitted variables or incorrect model form.

Fix?

Add lagged variables or use GLS.

Impara

Understanding the Normal Distribution

Calcolatrici Correlate

Runs Test

Randomness test.

Regression

Regression slope.

R-Squared

Coefficient of determination.