topic Re: Durbin-Watson in Discussions
https://community.jmp.com/t5/Discussions/Durbin-Watson/m-p/65377#M34314
<P>In the JMP output, the "Durbin-Watson" value gives the test statistic (d), which is testing whether the residuals have first-order positive autocorrelation. You can get the p-value associated with this test by clicking on the section red triangle menu and selecting the "Significance P-Value" option (note that the computation of this exact probability can be memory and time-intensive if there are many observations). A significant p-value (based on your chosen significance level, commonly 0.05) allows you to reject the null hypothesis that the residuals are independent and conclude that there is first-order positive autocorrelation.</P>
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<P>The value under AutoCorrelation simply displays the calculated autocorrelation of the residuals.</P>
<P>Rules of thumb regarding the value of d are discussed in the <A href="https://en.wikipedia.org/wiki/Durbin%E2%80%93Watson_statistic" target="_blank">Durbin–Watson statistic Wikipedia article</A>: Since d is approximately equal to 2(1 − r), where r is the sample autocorrelation of the residuals, d = 2 indicates no autocorrelation. The value of d always lies between 0 and 4. If the Durbin–Watson statistic is substantially less than 2, there is evidence of positive serial correlation. As a rough rule of thumb, if Durbin–Watson is less than 1.0, there may be cause for alarm. Small values of d indicate successive error terms are positively correlated. If d > 2, successive error terms are negatively correlated.</P>Tue, 31 Jul 2018 18:34:03 GMTDahlia_Watkins2018-07-31T18:34:03ZDurbin-Watson
https://community.jmp.com/t5/Discussions/Durbin-Watson/m-p/588#M588
I'm doing a regression with a dependent variable of price and an independant variable of date.<BR /><BR />I know I need to check for autocorrelation with the Durbin Watson test but I don't know which number I should be looking at.<BR /><BR />The one under "Durbin Watson" or the one under "Autocorrelation"? What is the threshold (greater than / less than) that I should be worried about?<BR /><BR />Thanks.<BR /><BR />CharlieMon, 27 Jul 2009 16:00:09 GMThttps://community.jmp.com/t5/Discussions/Durbin-Watson/m-p/588#M5882009-07-27T16:00:09ZRe: Durbin-Watson
https://community.jmp.com/t5/Discussions/Durbin-Watson/m-p/65377#M34314
<P>In the JMP output, the "Durbin-Watson" value gives the test statistic (d), which is testing whether the residuals have first-order positive autocorrelation. You can get the p-value associated with this test by clicking on the section red triangle menu and selecting the "Significance P-Value" option (note that the computation of this exact probability can be memory and time-intensive if there are many observations). A significant p-value (based on your chosen significance level, commonly 0.05) allows you to reject the null hypothesis that the residuals are independent and conclude that there is first-order positive autocorrelation.</P>
<P> </P>
<P>The value under AutoCorrelation simply displays the calculated autocorrelation of the residuals.</P>
<P>Rules of thumb regarding the value of d are discussed in the <A href="https://en.wikipedia.org/wiki/Durbin%E2%80%93Watson_statistic" target="_blank">Durbin–Watson statistic Wikipedia article</A>: Since d is approximately equal to 2(1 − r), where r is the sample autocorrelation of the residuals, d = 2 indicates no autocorrelation. The value of d always lies between 0 and 4. If the Durbin–Watson statistic is substantially less than 2, there is evidence of positive serial correlation. As a rough rule of thumb, if Durbin–Watson is less than 1.0, there may be cause for alarm. Small values of d indicate successive error terms are positively correlated. If d > 2, successive error terms are negatively correlated.</P>Tue, 31 Jul 2018 18:34:03 GMThttps://community.jmp.com/t5/Discussions/Durbin-Watson/m-p/65377#M34314Dahlia_Watkins2018-07-31T18:34:03Z