dwtest {lmtest}R Documentation

Durbin-Watson-Test

Description

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

Usage

raintest(formula, data=list())

Arguments

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

Value

A list with class "htest" containing the following components:
statistic the value of the test statistic.
p.value the p-value of the test
method a character string indicating what type of test was performed.
data.name a character string giving the name(s) of the data.

Author(s)

Torsten Hothorn <hothorn@amadeus.statistik.uni-dortmund.de>

References

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

See Also

lm

Examples

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);


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