Hi,
I have two time series, y and x. Diff(y) and Diff(x) both show no
autocorrelation. But durbin.watson(lm(Diff(y)~lag(Diff(x),k=-4)) gives a DW
value of zero. How come the residule is autocorrelated while Diff(y) and
Diff(x) are not? Does anyone know if in my case a DW of zero indicates
serial correlation, or is it telling me that the DW statistics is not the
appropriate statistics to use here?
Thanks,
--
Tom
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