(The regression is incorrect from econometric point of view, just to give an easily
reproducible example)
open /usr/local/share/gretl/data/misc/denmark.gdt
ols LRM const LRY
dw=$dwpval
(here Durbin-Watson = 0.298798)
From script output:
? dw=$dwpval Imhof integral gave negative
value
Error executing script: halting > dw=$dwpval
May be it worth to include into the function something like this: if dw<dw0 (or if
Imhof <=0) or pvalue<p0 print( pvalue<e-N )for some N, say e-16?
R ouput for the same dataset (dwtest{lmtest})
DW = 0.2988, p-value < 2.2e-16