ddw {desk}

Durbin Watson Distribution

Description

Calculates density values of the null distribution in the Durbin Watson test. Uses the saddlepoint approximation by Paolella (2007).

Usage

ddw(x, mod, data = list())

Arguments

x

quantile value(s) at which the density should be determined.

mod

estimated linear model object, formula (with argument data specified), or model matrix.

data

if mod is a formula then the name of the corresponding dataframe has to be specified here.

Details

The Durbin Watson Null-Distribution depends on values of the exogenous variables. That is why it must be calculated from each specific data set, respectively.

Value

Numerical density value(s).

References

Durbin, J. & Watson, G.S. (1950): Testing for Serial Correlation in Least Squares Regression I. Biometrika 37, 409-428.

Paolella (2007): Intermediate Probability - A Computational Approach, Wiley.

See Also

dw.test, pdw.

Examples

filter.est <- ols(sales ~ price, data = data.filter)
ddw(x = c(0.9, 1.7, 2.15), filter.est)