pdw function

Durbin-Watson Distribution

Calculates cumulative distribution values of the null distribution in the Durbin-Watson test. Uses saddle point approximation by Paolella (2007).

pdw(x, mod, data = list())

Arguments

• x: quantile value(s) at which the density should be determined.
• mod: estimated linear model object, formula (with data specified), or model matrix.
• data: if mod is a formula then the name of the corresponding data frame has to be specified.

Returns

Numerical density value(s).

Details

Distribution depends on values of the exogenous variables. That is why it must be calculated from each specific data set, respectively.

Examples

filter.est <- ols(sales ~ price, data = data.filter)
pdw(x = c(0.9, 1.7, 2.15), filter.est)

References

Paolella, M.S. (2007): Intermediate Probability - A Computational Approach, Wiley.

See Also

ddw, dw.test.