Technical Analysis of STOCKS & COMMODITIES
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ARTICLE SYNOPSIS...Stocks & Commodities V. 22:4 (58-60): Come Here Quick, Durbin Watson by Ron McEwan
Here's how you can use the Durbin Watson statistic to measure the autocorrelation of two securities.
One of the most powerful statistical tools traders have at their dis
ARTICLE SYNOPSIS...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 w