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LengYi
Calcite | Level 5

Hi everyone,

 

I have a question to read the DW test output from proc reg using option dwProb.Capture.PNG

 

 

This is the output from SAS/STAT(R) 9.2 User's Guide, so this is autocorrelation or not?

How can I know d, dU and dL of test

 

Thanks

2 REPLIES 2
Miracle
Barite | Level 11
  • I assume your d is Durbin-Watson test statistic. If so, it is 1.191
  • Yes, there is a significant first-order autocorrelation in the disturbances because Pr<DW=0.005.
  • You can refer to Durbin-Watson Significance Tables to find out dL and dU. They depend on the number of observations in your data and number of parameter estimates(excluding intercept) in your regression model.
AlexS332
Calcite | Level 5

Hi everyone,

I'm also working on the durbin watson test for linear regression, with SAS.
I use the dwprob argument to get a pvalue for the test.. Then I get 2 pvalues : one for testing for positive autocorrelation, another to test for negative autocorrelation... But I want a "general" test with alternative "autocorrelation" (positive or negative)..
Do you know how I can get a "general" pvalue for this test from the pvalues givent by sas?
Can I multiply Pr<DW by 2? is it correct?

 

Thank you very much for help

 

Alex

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