stats/

dw_critical.pro

topdw_critical

stats

result = dw_critical(sig, reg, n)

return the critical values for the Durbin-Watson test statistic from http://www.tau.ac.il/~yonar/econometrics/durbinwatson.pdf

Return value

an array with the [lower, upper] bounds of the test statistic

Parameters

sig in required: sigificance level (1%, 2.5%, 5%)
reg in required: number of regressors (2,3,4,5,6)
n in required: number of data pairs, 15 to 100 rounded to array

Examples

 see
 http://people.bu.edu/balarsen/Home/IDL/Entries/2007/12/1_Durbin-Watson_test_for_autocorrelation.html

 IDL> print, dw_critical(1, 2, 23)
       1.01700      1.18600
 IDL> print, dw_critical(1, 2, 51)
       1.32400      1.40300
 IDL> print, dw_critical(1, 2, 101)
       1.52200      1.56200
 IDL> print, dw_critical(1, 2, 100)
       1.52200      1.56200
 IDL> print, dw_critical(1, 2, 36)
       1.20500      1.31500

Author information

History:: Mon Jan 7 16:25:00 2008, Brian Larsen updated for new round2array() inputs Sat Dec 1 12:39:06 2007, Brian Larsen written and tested

Statistics

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Modifcation date:	Mon Sep 22 12:40:45 2008
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