Calculates the Durbin-Watson statistic
Parameters: | resids : array-like |
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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.