[R] where can I find Durbin-Waston test tables for Confidence Level 2.5% or 0.5%?

[Achim Zeileis]

Michael:

> I am doing a two-sided DW test:
>
> H0: rho = 0
> H1: rho =/= 0
>
> My understanding is that most test statistics tables are one-sided. It's the
> way they created the table.

...because rho > 0 is the alternative of interest in most applications.

> So from online, by doing Googling, I found a bunch of DW tables for
> Confidence Level 5%.

Using tables for the DW test is difficult because it's distribution 
depends on the particular set of regressors used. The tables of DW just 
give upper and lower bounds.

Back when the DW test was suggested, tables was the only way to make 
application of the test feasible. Today, you would either use the exact 
combination of chi-square distributions or an asymptotic approximation 
(both implemented in dwtest() from "lmtest") or a bootstrap approximation 
(implemented in durbin.watson() from "car"). For 278 observations, the 
normal approximation should be sufficient.

hth,
Z