Tom La Bone
2009-Aug-03 00:22 UTC
[R] Comparison of Output from "dwtest" and "durbin.watson"
Should "dwtest" and "durbin.watson" be giving me the same DW statistic and p-value for these two fits? library(lmtest) library(car) X <- c(4.8509E-1,8.2667E-2,6.4010E-2,5.1188E-2,3.4492E-2,2.1660E-2, 3.2242E-3,1.8285E-3) Y <- c(2720,1150,1010,790,482,358,78,35) W <- 1/Y^2 fit <- lm(Y ~ X - 1) dwtest(fit,alternative="two.sided") durbin.watson(fit,alternative="two.sided") fit <- lm(Y ~ X - 1,weights=W) dwtest(fit,alternative="two.sided") durbin.watson(fit,alternative="two.sided") Tom -- View this message in context: http://www.nabble.com/Comparison-of-Output-from-%22dwtest%22-and-%22durbin.watson%22-tp24783494p24783494.html Sent from the R help mailing list archive at Nabble.com.
Tom La Bone
2009-Aug-04 13:18 UTC
[R] Comparison of Output from "dwtest" and "durbin.watson"
Allow me to reword this question. I have performed two fits to the same set of data below: a weighted fit and an unweighted fit. I performed the Durbin-Watson tests on each fit using "dwtest" and "durbin.watson". For a given fit (weighted or unweighted), should both dwtest and durbin.watson be giving me the same DW statistic and p-value? Should I get the same DW statistic and p-value for the weighted and unweighted fits as I do using dwtest?> library(lmtest)Loading required package: zoo Attaching package: 'zoo' The following object(s) are masked from package:base : as.Date.numeric> library(car) > X <- c(4.8509E-1,8.2667E-2,6.4010E-2,5.1188E-2,3.4492E-2,2.1660E-2,+ 3.2242E-3,1.8285E-3)> Y <- c(2720,1150,1010,790,482,358,78,35) > W <- 1/Y^2 > > fit <- lm(Y ~ X - 1) > dwtest(fit,alternative="two.sided")Durbin-Watson test data: fit DW = 0.7599, p-value = 0.05935 alternative hypothesis: true autocorelation is not 0> durbin.watson(fit,alternative="two.sided")lag Autocorrelation D-W Statistic p-value 1 0.5897666 0.7599161 0.368 Alternative hypothesis: rho != 0> > fit <- lm(Y ~ X - 1,weights=W) > dwtest(fit,alternative="two.sided")Durbin-Watson test data: fit DW = 0.7599, p-value = 0.05935 alternative hypothesis: true autocorelation is not 0> durbin.watson(fit,alternative="two.sided")lag Autocorrelation D-W Statistic p-value 1 -0.07663672 1.209076 0.77 Alternative hypothesis: rho != 0>-- View this message in context: http://www.nabble.com/Comparison-of-Output-from-%22dwtest%22-and-%22durbin.watson%22-tp24783494p24808540.html Sent from the R help mailing list archive at Nabble.com.