Solved – Durbin Watson test statistic

autocorrelationhypothesis testingrregressionresiduals

I applied the DW test to my regression model in R and I got a DW test statistic of 1.78 and a p-value of 2.2e-16 = 0.

Does this mean there is no autocorrelation between the residuals because the stat is close to 2 with a small p-value or does it mean although the stat is close to 2 the p-value is small and thus we reject the null hypothesis of there existing no autocorrelation?

Best Answer

In R, the function durbinWatsonTest() from car package verifies if the residuals from a linear model are correlated or not:

  • The null hypothesis ($\text{H}_0$) is that there is no correlation among residuals, i.e., they are independent.
  • The alternative hypothesis ($\text{H}_a$) is that residuals are autocorrelated.

As the p value was near from zero it means one can reject the null.

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