Statistics Definitions > Durbin Watson Test & Coefficient

## What is The Durbin Watson Test?

The Durbin Watson Test is a measure of autocorrelation (also called serial correlation) in residuals from regression analysis. Autocorrelation is the similarity of a time series over successive time intervals. It can lead to underestimates of the standard error and can cause you to think predictors are significant when they are not. **The Durbin Watson test looks for a specific type of serial correlation, the AR(1) process.
**

The Hypotheses for the Durbin Watson test are:

H

_{0}= no first order autocorrelation.

H

_{1}= first order correlation exists.

(For a first order correlation, the lag is one time unit).

Assumptions are:

- That the errors are normally distributed with a mean of 0.
- The errors are stationary.

The test statistic is calculated with the following formula:

Where E_{t} are residuals from an ordinary least squares regression.

The Durbin Watson test reports a test statistic, with a value from 0 to 4, where:

- 2 is no autocorrelation.
- 0 to <2 is positive autocorrelation (common in time series data).
- >2 to 4 is negative autocorrelation (less common in time series data).

A **rule of thumb **is that test statistic values in the range of 1.5 to 2.5 are relatively normal. Values outside of this range could be cause for concern. Field(2009) suggests that values under 1 or more than 3 are a definite cause for concern.

The Durbin Watson test is rarely used and is considered by some to be archaic. It requires the use of tables, which you can find here. Here’s an except of the table at the 5% alpha level (the most common significance level used):

As the tables are so cumbersome, you’ll want to use technology to find the DW statistic.

## Technology Options

- In Minitab:

Click Stat > Regression > Regression > Fit Regression Model. Click “Results,” and check the Durbin-Watson statistic. - SAS: Find directions here on the UCLA website.
- MATLAB: The procedure can be found here on the Mathworks site.
- SPSS: From the main regression dialog box, click Statistics. Check the box for Durbin-Watson (in the Residuals section of Linear Regression Statistics).

**Reference**:

Field, A.P. (2009). Discovering statistics using SPSS: and sex and drugs and rock ‘n’ roll (3rd edition). London:Sage.

**Need help with a homework or test question?** With Chegg Study, you can get step-by-step solutions to your questions from an expert in the field. If you rather get 1:1 study help, Chegg Tutors offers 30 minutes of free tutoring to new users, so you can try them out before committing to a subscription.

If you prefer an **online interactive environment** to learn R and statistics, this *free R Tutorial by Datacamp* is a great way to get started. If you're are somewhat comfortable with R and are interested in going deeper into Statistics, try *this Statistics with R track*.

**Comments? Need to post a correction?** Please post a comment on our *Facebook page*.

Check out our updated Privacy policy and Cookie Policy