dwtest                package:lmtest                R Documentation

_D_u_r_b_i_n-_W_a_t_s_o_n-_T_e_s_t

_D_e_s_c_r_i_p_t_i_o_n:

     `dwtest' performs the Durbin-Watson-Test on autocorrelation of
     disturbances.

_U_s_a_g_e:

     dwtest(formula, data=list())

_A_r_g_u_m_e_n_t_s:

 formula: a symbolic describtion for the model to be tested

    data: an optional data frame containing the variables in the model.
          By default the variables are taken from the environment which
          'dwtest' is called from

_V_a_l_u_e:

     A list with class `"htest"' containing the following components: 

statistic: the value of the test statistic.

 p.value: the null distribution depends on X and is hardly trackable,
          so p.value is NA

  method: a character string indicating what type of test was
          performed.

data.name: a character string giving the name(s) of the data.

_A_u_t_h_o_r(_s):

     Torsten Hothorn <Torsten.Hothorn@rzmail.uni-dortmund.de>

_R_e_f_e_r_e_n_c_e_s:

     Kraemer, W., Sonnberger, H. (1986): The linear regression model
     under test

_S_e_e _A_l_s_o:

     `lm'

_E_x_a_m_p_l_e_s:

     x <- c(1:30);
     ut <- c(1:30);
     # creating a ARMA(1) process
     for(i in (2:30))
     {
             ut[i] <- 1 * ut[i-1] + rnorm(1,0,2);
     }
     y <- x + ut;
     dw <- dwtest(y ~ x);

