Durbin-Watson Test

Manual

Y X Y_Estimate Error_ei ei_1 (E-ei-1)^2 E^2

1960 1.7 5.5 4.269755 -2.569755 -3.569755 1 6.603641
1961 1 6.7 4.902191 -3.902191 -4.902191 1 15.22709
1962 1 5.5 4.269755 -3.269755 -4.269755 1 10.6913
1963 1.3 5.7 4.375161 -3.075161 -4.075161 1 9.456615
1964 1.3 5.2 4.111646 -2.811646 -3.811646 1 7.905353
1965 1.6 4.5 3.742725 -2.142725 -3.142725 1 4.59127
1966 2.9 3.8 3.373804 -0.473804 -1.473804 1 0.22449
1967 3.1 3.8 3.373804 -0.273804 -1.273804 1 0.074969
1968 4.2 3.6 3.268398 0.931602 -0.068398 1 0.867882
1969 5.5 3.5 3.215695 2.284305 1.284305 1 5.218049
1970 5.7 4.9 3.953537 1.746463 0.746463 1 3.050133
1971 4.4 5.9 4.480567 -0.080567 -1.080567 1 0.006491
1972 3.2 5.6 4.322458 -1.122458 -2.122458 1 1.259912
1973 6.2 4.9 3.953537 2.246463 1.246463 1 5.046596
1974 11 5.6 4.322458 6.677542 5.677542 1 44.58957
1975 9.1 8.5 5.850845 3.249155 2.249155 1 10.55701
1976 5.8 7.7 5.429221 0.370779 -0.629221 1 0.137477
1977 6.5 7.1 5.113003 1.386997 0.386997 1 1.923761
1978 7.6 6.1 4.585973 3.014027 2.014027 1 9.084359
1979 11.3 5.8 4.427864 6.872136 5.872136 1 47.22625
1980 13.5 7.1 5.113003 8.386997 7.386997 1 70.34172
1981 10.3 7.6 5.376518 4.923482 3.923482 1 24.24068
1982 6.2 9.7 6.483281 -0.283281 -1.283281 1 0.080248
1983 3.2 9.6 6.430578 -3.230578 -4.230578 1 10.43663
1984 4.3 7.5 5.323815 -1.023815 -2.023815 1 1.048197
1985 3.6 7.2 5.165706 -1.565706 -2.565706 1 2.451435
1986 1.9 7 5.0603 -3.1603 -4.1603 1 9.987496
1987 3.6 6.2 4.638676 -1.038676 -2.038676 1 1.078848
1988 4.1 5.5 4.269755 -0.169755 -1.169755 1 0.028817
1989 4.8 5.3 4.164349 0.635651 -0.364349 1 0.404052
1990 5.4 5.6 4.322458 1.077542 0.077542 1 1.161097
1991 4.2 6.8 4.954894 -0.754894 -1.754894 1 0.569865
1992 3 7.5 5.323815 -2.323815 -3.323815 1 5.400116
1993 3 6.9 5.007597 -2.007597 -3.007597 1 4.030446
1994 2.6 6.1 4.585973 -1.985973 -2.985973 1 3.944089
1995 2.8 5.6 4.322458 -1.522458 -2.522458 1 2.317878
1996 3 5.4 4.217052 -1.217052 -2.217052 1 1.481216
1997 2.3 4.9 3.953537 -1.653537 -2.653537 1 2.734185
1998 1.6 4.5 3.742725 -2.142725 -3.142725 1 4.59127
            39 330.0705

β 0=1.37109 n=39
β 1=0.52703 k =1
 n

∑ (e i−e i−1)2
d= i=2 n
d L=1.435
2
∑e i
i=1

39
d= d U =1.54
330.0705
d=0.1181566 4−d U =2.46

Ho: There is no autocorrelation

Ha: There is autocorrelation

d is less than d L; therefore, there is positive autocorrelation

Interpretation:

Since the computed D-statistics of 0.1181566 is less than the d L which is 1.435; therefore, we reject
the null hypothesis which states that there is no autocorrelation and accept the alternative
hypothesis which states that there is autocorrelation.
Durbin-Watson Test
EViews

Durbin-Watson Test
Stata
 Durbin’s h Test
Manual

DW n
h=(1−
2
)
√
1−n σ 2^y

0.1181566 39
h=(1−
2
)
√1−¿¿
¿

0.1181566 39
h=(1−
2
)
√1−(39∗0.108187051)
h=(0.9409217)(5.897516852)
h=5.549101582

Durbin’s h Test
Stata

Newey Test
Eviews

Dependent Variable: Y
Method: Least Squares
Date: 06/04/21 Time: 17:30
Sample: 1960 1998
Included observations: 39
HAC standard errors & covariance (Bartlett kernel, Newey-West fixed
        bandwidth = 4.0000)

Variable Coefficient Std. Error t-Statistic Prob.  

C 1.371089 1.641408 0.835313 0.4089

X 0.527035 0.288265 1.828299 0.0756

R-squared 0.064888    Mean dependent var 4.558974

Adjusted R-squared 0.039615    S.D. dependent var 3.047753
S.E. of regression 2.986775    Akaike info criterion 5.076186
Sum squared resid 330.0705    Schwarz criterion 5.161497
Log likelihood -96.98562    Hannan-Quinn criter. 5.106795
F-statistic 2.567460    Durbin-Watson stat 0.465631
Prob(F-statistic) 0.117587
 Breusch Godfrey Test
Eviews

Breusch-Godfrey Serial Correlation LM Test:

F-statistic 40.67613    Prob. F(2,35) 0.0000

Obs*R-squared 27.26838    Prob. Chi-Square(2) 0.0000

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 06/04/21 Time: 16:31
Sample: 1960 1998
Included observations: 39
Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob.  

C 2.806523 1.540722 1.821564 0.0771

X -0.469110 0.252227 -1.859868 0.0713
RESID(-1) 1.067750 0.144961 7.365779 0.0000
RESID(-2) -0.284324 0.178005 -1.597275 0.1192

R-squared 0.699189    Mean dependent var -1.10E-15

Adjusted R-squared 0.673406    S.D. dependent var 2.947213
S.E. of regression 1.684286    Akaike info criterion 3.977476
Sum squared resid 99.28873    Schwarz criterion 4.148097
Log likelihood -73.56078    Hannan-Quinn criter. 4.038693
F-statistic 27.11742    Durbin-Watson stat 1.413917
Prob(F-statistic) 0.000000

Ho: There is no higher order autocorrelation

Ha: There is a higher order autocorrelation

Interpretation:
Since the p-value of Breusch-Godfrey test is 0 which less than the 0.05 significance therefore we
reject the null hypothesis which states that there is no higher order autocorrelation and accept the
alternative hypothesis which states that there is a higher order autocorrelation.

Breusch Godfrey Test

Stata
 When rho is known

Dependent Variable: Y
Method: Least Squares
Date: 06/04/21 Time:
18:01
Sample: 1 39
Included observations:
39

Coefficien Std.
Variable t Error t-Statistic Prob.

0.33146
C 0.660765 8 1.993448 0.0536
0.23646
X -0.19156 1 -0.8101 0.4231

0.51871
R-squared 0.017428 Mean dependent var 8
1.74870
Adjusted R-squared -0.00913 S.D. dependent var 7
4.01463
S.E. of regression 1.75667 Akaike info criterion 7
4.09994
Sum squared resid 114.1779 Schwarz criterion 8
Hannan-Quinn 4.04524
Log likelihood -76.2854 criter. 6
F-statistic 0.65626 Durbin-Watson stat 1.36342
When Prob(F-statistic) 0.423063 rho is
unknown-first difference method

Dependent Variable: D(Y)

Method: Least Squares
Date: 06/04/21 Time:
18:02
Sample (adjusted): 2 39
Included observations: 38 after adjustments

Std.
Variable Coefficient Error t-Statistic Prob.

C -0.01721 0.288012 -0.05974 0.9527

D(X) -0.5538 0.302181 -1.83268 0.0751

R-squared 0.085336 Mean dependent var -0.00263

Adjusted R-squared 0.059928 S.D. dependent var 1.830446
S.E. of regression 1.774751 Akaike info criterion 4.036393
Sum squared resid 113.3907 Schwarz criterion 4.122582
Log likelihood -74.6915 Hannan-Quinn criter. 4.067059
F-statistic 3.358706 Durbin-Watson stat 1.393045
Prob(F-statistic) 0.075132