statsmodels.stats.stattools.durbin_watson(resids, axis=0)
[source]
Calculates the Durbin-Watson statistic
Parameters: | resids (array-like) – |
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Returns: |
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The null hypothesis of the test is that there is no serial correlation. The Durbin-Watson test statistics is defined as:
The test statistic is approximately equal to 2*(1-r) where r
is the sample autocorrelation of the residuals. Thus, for r == 0, indicating no serial correlation, the test statistic equals 2. This statistic will always be between 0 and 4. The closer to 0 the statistic, the more evidence for positive serial correlation. The closer to 4, the more evidence for negative serial correlation.
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.stats.stattools.durbin_watson.html