dwat
Show autocorrelation tests from Durbin-Watson. Needs OLS to be run in advance with independent and dependent variables
Usage
dwat [-p]
Parameters
| Name | Description | Default | Optional | Choices |
|---|---|---|---|---|
| plot | Plot the residuals | False | True | None |
Examples
2022 Feb 24, 05:59 (🦋) /econometrics/ $ ols -d adj_close-msft -i adj_close-aapl -i adj_close-googl -i adj_close-tsla
OLS Regression Results
==============================================================================
Dep. Variable: adj_close_msft R-squared: 0.977
Model: OLS Adj. R-squared: 0.977
Method: Least Squares F-statistic: 1.068e+04
Date: Thu, 24 Feb 2022 Prob (F-statistic): 0.00
Time: 12:00:01 Log-Likelihood: -2830.6
No. Observations: 759 AIC: 5669.
Df Residuals: 755 BIC: 5688.
Df Model: 3
Covariance Type: nonrobust
===================================================================================
coef std err t P|t| [0.025 0.975]
-----------------------------------------------------------------------------------
Intercept 27.7984 2.166 12.832 0.000 23.546 32.051
adj_close_aapl 0.8662 0.034 25.503 0.000 0.800 0.933
adj_close_googl 0.0508 0.002 30.374 0.000 0.048 0.054
adj_close_tsla -0.0007 0.004 -0.181 0.856 -0.009 0.007
==============================================================================
Omnibus: 41.445 Durbin-Watson: 0.044
Prob(Omnibus): 0.000 Jarque-Bera (JB): 47.398
Skew: 0.612 Prob(JB): 5.10e-11
Kurtosis: 2.995 Cond. No. 1.16e+04
==============================================================================
Notes:
[1] Standard Errors assume that the covariance matrix of the errors is correctly specified.
[2] The condition number is large, 1.16e+04. This might indicate that there are
strong multicollinearity or other numerical problems.
2022 Feb 24, 06:00 (🦋) /statistics/ $ dwat -p
The result 0.04 is outside the range 1.5 and 2.5 and therefore autocorrelation can be problematic.
Please consider lags of the dependent or independent variable.
