stats.stattools.durbin_watson()

statsmodels.stats.stattools.durbin_watson

statsmodels.stats.stattools.durbin_watson(resids, axis=0) [source]

Calculates the Durbin-Watson statistic

Parameters:

resids : array-like

Returns:

dw : float, array-like

The Durbin-Watson statistic. :

Notes

The null hypothesis of the test is that there is no serial correlation. The Durbin-Watson test statistics is defined as:

\sum_{t=2}^T((e_t - e_{t-1})^2)/\sum_{t=1}^Te_t^2

The test statistic is approximately equal to 2*(1-r) where r is the sample autocorrelation of the residuals. Thus, for r == 0, indicating no serial correlation, the test statistic equals 2. This statistic will always be between 0 and 4. The closer to 0 the statistic, the more evidence for positive serial correlation. The closer to 4, the more evidence for negative serial correlation.

doc_statsmodels
2017-01-18 16:19:47
Comments
Leave a Comment

Please login to continue.