Dear Tom, It is in principle possible for residuals to be autocorrelated even when the series for the response variable is not. Moreover, the DW test should be appropriate for the model you fit. On the other hand, a DW statistic of 0 suggests perfect positive autocorrelation, and so I would suspect that something has gone wrong. Without the data, it's not possible to be more specific. If you haven't already looked at the residuals, I'd do so now.
Regards, John ------------------------------ John Fox, Professor Department of Sociology McMaster University Hamilton, Ontario, Canada web: socserv.mcmaster.ca/jfox > -----Original Message----- > From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On > Behalf Of tom soyer > Sent: July-27-08 4:33 PM > To: r-help@r-project.org > Subject: [R] help with durbin.watson > > 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 > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
