[R] regression and dw

[Prof Brian Ripley]

On Fri, 16 Apr 2004, Erin Hodgess wrote:

> 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?  

Look at the residuals more closely, e.g. look at the acf.

> 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?

Better to use arima with AR residuals and an xreg matrix.  

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595