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66773 11
2005-11-16

如题,主要具体操作。

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2005-11-16 10:39:00

应该用生成新序列命令吧

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2005-11-16 14:04:00

"The Durbin-Watson Statistic

EViews reports the Durbin-Watson (DW) statistic as a part of the standard regression output. The Durbin-Watson statistic is a test for first-order serial correlation. More formally, the DW statistic measures the linear association between adjacent residuals from a regression model. The Durbin-Watson is a test of the hypothesis in the specification:

(17.4).

If there is no serial correlation, the DW statistic will be around 2. The DW statistic will fall below 2 if there is positive serial correlation (in the worst case, it will be near zero). If there is negative correlation, the statistic will lie somewhere between 2 and 4.

Positive serial correlation is the most commonly observed form of dependence. As a rule of thumb, with 50 or more observations and only a few independent variables, a DW statistic below about 1.5 is a strong indication of positive first order serial correlation. See Johnston and DiNardo (1997, Chapter 6.6.1) for a thorough discussion on the Durbin-Watson test and a table of the significance points of the statistic.

There are three main limitations of the DW test as a test for serial correlation. First, the distribution of the DW statistic under the null hypothesis depends on the data matrix . The usual approach to handling this problem is to place bounds on the critical region, creating a region where the test results are inconclusive. Second, if there are lagged dependent variables on the right-hand side of the regression, the DW test is no longer valid. Lastly, you may only test the null hypothesis of no serial correlation against the alternative hypothesis of first-order serial correlation.

Two other tests of serial correlation-the Q-statistic and the Breusch-Godfrey LM test-overcome these limitations, and are preferred in most applications."

-EViews 5.1 UG

Hope to be of help. By the way, try to make full use of UG. You may get what you want.

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2005-11-16 21:20:00
Note that there are a couple of assumptions for this test that in practive are just ignored.
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2009-12-19 21:07:05
楼上的两位的英语水平真牛逼。
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2009-12-19 21:45:40
DW值是回归方程时自动输出的 我的是EVIEWS5.1 版本的
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