[R] regression and dw
Erin Hodgess
hodgess at gator.uhd.edu
Fri Apr 16 18:01:10 CEST 2004
Dear R People:
Suppose we have a regression model that we will call
y.lm
We run the Durbin Watson test for autocorrelation
and we find that there is positive autocorrelation,
and phi = 0.72, say.
What is our next step, please?
Do we calculate the following
yprime_t = y_t - 0.72y_t-1,
x1prime_t = x1_t - 0.72x1_t-1,
and so on, and re-fit the linear mode?
I haven't done this in a while. Just wanted to double check.
Thanks so much!
Erin Hodgess
Associate Professor
Department of Computer and Mathematical Sciences
University of Houston - Downtown
mailto: hodgess at gator.uhd.edu
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