Could anybody know how to calculate pvalue for durbin watson statistics?
I 've been always wondering why eviews does not produce pvalue for durbin watson statistic.
HIS
how to calculaute pvalue for durbin watson statistics?
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 Nonnormality and collinearity are NOT problems!
 Posts: 3326
 Joined: Wed Sep 17, 2008 2:25 pm
Re: how to calculaute pvalue for durbin watson statistics?
The exact distribution of the DurbinWatson is hard and can only be found by simulation. That's why tables give upper and lower bounds. I don't think any program gives pvalues. (In any event, for a reasonably large sample you are better off with the BreuschGodfrey.)
Re: how to calculaute pvalue for durbin watson statistics?
Thank you for your reply.
Well, stata provides a command to get a pvalue of DW statistic.
The table for Dw is given and i guess eviews can also provide pvalue.
HIS
Well, stata provides a command to get a pvalue of DW statistic.
The table for Dw is given and i guess eviews can also provide pvalue.
HIS

 Nonnormality and collinearity are NOT problems!
 Posts: 3326
 Joined: Wed Sep 17, 2008 2:25 pm
Re: how to calculaute pvalue for durbin watson statistics?
ecofine wrote:Thank you for your reply.
Well, stata provides a command to get a pvalue of DW statistic.
The table for Dw is given and i guess eviews can also provide pvalue.
HIS
I stand corrected. I didn't know Stata could do that. Is it Stat's dwe command that you use? If it is, let me note that the Stata documentation states, in part,
We at Stata are not fans of the original DurbinWatson test because the
test's p value is known to be heavily dependent on the
normalityoftheresiduals assumption. A far better test is Durbin's
alternative test, available in Stata by tying estat durbina after
estimation by regress.
As others on the list have noted, they have requested p values and we have
not responded. Other than (1) doing homework or (2) reproducing the results
of others, we know of no good reason why anyone should want the p value that
assumes normality of the DurbinWatson statistic.
Re: how to calculaute pvalue for durbin watson statistics?
Thank you very much for your kind information.
I will look up to stata information and come back here again if I would have furthermore questions.
Have a nice day!
HIS
I will look up to stata information and come back here again if I would have furthermore questions.
Have a nice day!
HIS
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