[R] Comparison of Output from "dwtest" and "durbin.watson"
Achim.Zeileis at wu-wien.ac.at
Tue Aug 4 17:40:55 CEST 2009
On Tue, 4 Aug 2009, Tom La Bone wrote:
> My concern is that the two tests give different DW statistics for the
> weighted fit and very different p-values for the same DW statistic for the
> unweighted fit. Is there a "right" answer here?
dwtest() is not handling WLS at the moment. I'll have a look whether there
is an easy way to fix that, but I guess the best I could do at the moment
is to throw an error. (The statistic is easy to compute, but the
exact/approximate p-values are less straightforward.)
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