pdw: Durbin-Watson Distribution

In desk: Didactic Econometrics Starter Kit

Durbin-Watson Distribution

Description

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

Usage

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.

Details

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

Value

Numerical density value(s).

References

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

See Also

ddw, dw.test.

Examples

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

desk documentation built on May 29, 2024, 6:05 a.m.