Pages

Subscribe:

Labels

Selasa, 16 Agustus 2016

Critical Values for the Durbin-Watson Test

          5% Significance Level, K=2 to 21

K includes intercept.
K includes intercept.
K includes intercept. The first 2 tables reproduce the results of N.E. Savin and K.J. White, "The Durbin-Watson Test for Serial Correlation with Extreme Sample Sizes or Many Regressors," Econometrica 45, 1977, p.1989-1996.
Computed using the cdf(wtdchi) command in TSP 4.5, which in turn uses the following methods:
  • For T-K < 90, the Pan, Jie-Jian (1968) method, using code adapted from algorithm AS 153 (AS R52), by R.W. Farebrother (1984).
  • For T-K >= 90, the Imhoff, P.J. (1961) method, using code adapted from algorithm AS 256, by R.W. Farebrother (1990).
TSP commands used for 5%: dlustaba.tsp dlustabb.tsp dlustabc.tsp dlustabd.tsp
TSP commands used for 2.5%: dw025a.tsp dw025b.tsp dw025c.tsp dw025d.tsp
TSP commands used for 1%: dw01a.tsp dw01b.tsp dw01c.tsp dw01d.tsp

Sumber: Klik disini

0 komentar:

Posting Komentar