On Sun, 11 Jul 2010, Leigh E. Lommen wrote:
I would like to do the Durban-Watson test on a time series of log returns.
2 questions:
1) If I am just trying to find out if there is serial correlation,
what do I do for the residuals? there is no model, so do I just
use the log returns (time series) itself?
Test a regression model with an intercept only.
2) what is the code in R to accomplish this?
There is dwtest() in the "lmtest" package which employs the exact or
asymptotic distribution for computing the p-value (both under normality)
or durbin.watson() in "car" which employs a bootstrap approach.
Note that there are also various other tests for serial correlation
around, e.g., the Breusch-Pagan test in bptest() from "lmtest" among many
others.
Best,
Z
Regards
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