[R] Exact distribution, dwtest

[Achim Zeileis]

John Janmaat wrote:
> 
> Hello All,
> 
> Some time ago I enquired about the Durbin-Watson statistic.  The package
> 'lmtest' calculates the statistic, but reports NA on the P value.  Is
> there a package in R that calculates the exact distribution of the 'd'
> statistic?

In the package "car" there is a version of the test in the function
durbin.watson(), that computes the p-value by bootstrapping.
In the next version of "lmtest" (hopefully out on CRAN by the end of the
month) dwtest() will have p-values as well - not based on bootstrapping,
but on the "gradsol" or "pan" algorithm. If you like, I can send you a
snapshot of the forthcoming "lmtest" package.
Z


> Thanks,
> 
> John.
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