| 单词 | Durbin-Watson statistic |
| 释义 | Durbin-Watson statistic = (DW) A statistic used to test for autocorrelated disturbances. If zt are the residuals of a series, that is, the differences between the actual series and the values predicted by a regression on the explanatory variables, the DW statistic is given by the ratio of the sum of squares of first differences in residuals to the sum of squares of residuals. Thus DW = ∑t (zt - zt-1)2 /∑t (zt )2. A value of DW near to 2 indicates absence of autocorrelation in the disturbances. It should be noted that DW is not a satisfactory test when the explanatory variables include lagged values of the series itself. |
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