NAG Library Function Document
nag_prob_durbin_watson (g01epc)
1
Purpose
nag_prob_durbin_watson (g01epc) calculates upper and lower bounds for the significance of a Durbin–Watson statistic.
2
Specification
#include <nag.h> 
#include <nagg01.h> 
void 
nag_prob_durbin_watson (Integer n,
Integer ip,
double d,
double *pdl,
double *pdu,
NagError *fail) 

3
Description
Let
$r={\left({r}_{1},{r}_{2},\dots ,{r}_{n}\right)}^{\mathrm{T}}$ be the residuals from a linear regression of
$y$ on
$p$ independent variables, including the mean, where the
$y$ values
${y}_{1},{y}_{2},\dots ,{y}_{n}$ can be considered as a time series. The Durbin–Watson test (see
Durbin and Watson (1950),
Durbin and Watson (1951) and
Durbin and Watson (1971)) can be used to test for serial correlation in the error term in the regression.
The Durbin–Watson test statistic is:
which can be written as
where the
$n$ by
$n$ matrix
$A$ is given by
with the nonzero eigenvalues of the matrix
$A$ being
${\lambda}_{j}=\left(1\mathrm{cos}\left(\pi j/n\right)\right)$, for
$\mathit{j}=1,2,\dots ,n1$.
Durbin and Watson show that the exact distribution of
$d$ depends on the eigenvalues of a matrix
$HA$, where
$H$ is the hat matrix of independent variables, i.e., the matrix such that the vector of fitted values,
$\hat{y}$, can be written as
$\hat{y}=Hy$. However, bounds on the distribution can be obtained, the lower bound being
and the upper bound being
where
${u}_{i}$ are independent standard Normal variables.
Two algorithms are used to compute the lower tail (significance level) probabilities,
${p}_{l}$ and
${p}_{u}$, associated with
${d}_{l}$ and
${d}_{u}$. If
$n\le 60$ the procedure due to
Pan (1964) is used, see
Farebrother (1980), otherwise Imhof's method (see
Imhof (1961)) is used.
The bounds are for the usual test of positive correlation; if a test of negative correlation is required the value of $d$ should be replaced by $4d$.
4
References
Durbin J and Watson G S (1950) Testing for serial correlation in least squares regression. I Biometrika 37 409–428
Durbin J and Watson G S (1951) Testing for serial correlation in least squares regression. II Biometrika 38 159–178
Durbin J and Watson G S (1971) Testing for serial correlation in least squares regression. III Biometrika 58 1–19
Farebrother R W (1980) Algorithm AS 153. Pan's procedure for the tail probabilities of the Durbin–Watson statistic Appl. Statist. 29 224–227
Imhof J P (1961) Computing the distribution of quadratic forms in Normal variables Biometrika 48 419–426
Newbold P (1988) Statistics for Business and Economics Prentice–Hall
Pan Jie–Jian (1964) Distributions of the noncircular serial correlation coefficients Shuxue Jinzhan 7 328–337
5
Arguments
 1:
$\mathbf{n}$ – IntegerInput

On entry: $n$, the number of observations used in calculating the Durbin–Watson statistic.
Constraint:
${\mathbf{n}}>{\mathbf{ip}}$.
 2:
$\mathbf{ip}$ – IntegerInput

On entry: $p$, the number of independent variables in the regression model, including the mean.
Constraint:
${\mathbf{ip}}\ge 1$.
 3:
$\mathbf{d}$ – doubleInput

On entry: $d$, the Durbin–Watson statistic.
Constraint:
${\mathbf{d}}\ge 0.0$.
 4:
$\mathbf{pdl}$ – double *Output

On exit: lower bound for the significance of the Durbin–Watson statistic, ${p}_{l}$.
 5:
$\mathbf{pdu}$ – double *Output

On exit: upper bound for the significance of the Durbin–Watson statistic, ${p}_{u}$.
 6:
$\mathbf{fail}$ – NagError *Input/Output

The NAG error argument (see
Section 3.7 in How to Use the NAG Library and its Documentation).
6
Error Indicators and Warnings
 NE_ALLOC_FAIL

Dynamic memory allocation failed.
See
Section 2.3.1.2 in How to Use the NAG Library and its Documentation for further information.
 NE_BAD_PARAM

On entry, argument $\u2329\mathit{\text{value}}\u232a$ had an illegal value.
 NE_INT

On entry, ${\mathbf{ip}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{ip}}\ge 1$.
 NE_INT_2

On entry, ${\mathbf{n}}=\u2329\mathit{\text{value}}\u232a$ and ${\mathbf{ip}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{n}}>{\mathbf{ip}}$.
 NE_INTERNAL_ERROR

An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact
NAG for assistance.
See
Section 2.7.6 in How to Use the NAG Library and its Documentation for further information.
 NE_NO_LICENCE

Your licence key may have expired or may not have been installed correctly.
See
Section 2.7.5 in How to Use the NAG Library and its Documentation for further information.
 NE_REAL

On entry, ${\mathbf{d}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{d}}\ge 0.0$.
7
Accuracy
On successful exit at least $4$ decimal places of accuracy are achieved.
8
Parallelism and Performance
nag_prob_durbin_watson (g01epc) is not threaded in any implementation.
If the exact probabilities are required, then the first
$np$ eigenvalues of
$HA$ can be computed and
nag_prob_lin_chi_sq (g01jdc) used to compute the required probabilities with
c set to
$0.0$ and
d to the Durbin–Watson statistic.
10
Example
The values of $n$, $p$ and the Durbin–Watson statistic $d$ are input and the bounds for the significance level calculated and printed.
10.1
Program Text
Program Text (g01epce.c)
10.2
Program Data
Program Data (g01epce.d)
10.3
Program Results
Program Results (g01epce.r)