The Durbin-Watson statistic is used to perform the Durbin-Watson test
for the absence of autocorrelation. The software generates a
Durbin-Watson statistucs for first-order autoregression. The
resulting value can be used in conjunction with a table of values to
determine if the error terms are first-order autoregressive. The
resulting statistic can be tested against two values, dL and dH,
based on the number of regressors and the number of degrees of freedom
in the regression. The null hypothesis, that there is no
autoregression present, is tested as follows:
d < dL
Reject null hypothesis
d > dH
Do not reject null hypothesis
dL = dH
Test is inconclusive
Method
The Durbin-Watson statistic is computed from the following equation:
(from Kamenta, Jan, Elements of Econometrics: Second Edition, The University of Michigan Press, 2004, pp. 328-329.)