From cottrell@wfu.edu Mon Dec  1 21:58:11 2008
From: Allin Cottrell <cottrell@wfu.edu>
To: gretl-devel@gretlml.univpm.it
Subject: [Gretl-devel] Durbin-Watson p-values
Date: Mon, 01 Dec 2008 21:58:10 -0500
Message-ID: <Pine.A41.4.58.0812012149320.135270@f1n11.sp2net.wfu.edu>
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One new thing for testing.  I know this is not to everyone's
taste, but I've added a function for computing the p-value for the
Durbin-Watson statistic (using the Imhof method).  The idea in the
background was to get a correct p-value for D-W in the panel
context, though that is not fully implemeted yet.

You can try it out thus (a simple time-series, non-panel
illustration):

<script>
open theil.gdt

ols consume 0 relprice
matrix u = $uhat
matrix X = { $xlist }
scalar pv = dwpval(u, X)

ols consume 0 income relprice
matrix u = $uhat
matrix X = { $xlist }
scalar pv = dwpval(u, X)

Compare http://shazam.econ.ubc.ca/intro/testauto.htm#auto1

Allin

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