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Sidebar | APR 2004
Sidebar: Durbin Watson statistic by Ron McEwan
Stocks & Commodities V. 22:4 (60): Sidebar: Durbin Watson statistic by Ron McEwan The Durbin Watson statistic is a test that looks for first-order autocorrelation in the residuals of a time-series regression. The residual for time period t is compared with the residual for time period t–1, resulting in a statistic that measures the significance of this correlation. The value of the statistic ranges from zero to 4, with 2 indicating that there is no serial correlation. Sidebar Figure 1 shows a spreadsheet for calculating the autocorrelation for 10 securities.
by Ron McEwan
Technical Analysis of STOCKS & COMMODITIES
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