Durbin Watson Statistic

CFA Level II Quant
#1

Hi there,

Could you kindly confirm that the below is correct:

DW statistic > 4 – dL

Reject = significant negative correlation

= Significant negative serial correlation

DW statistic < du

Reject = significant positive correlation

= Significant positive serial correlation

Could you also help me with my two questions below:

If have also seen the following formula 2(1 – r) for DW, when do we use this formula?

If have also seen in questions, where if the DW statistic is equal to “2” then this is significant?

Many thanks,

Jamie

#2

my take:

DW=2: no problem

DW>2: negative

DW<2: positive

For the 2 critical value thing:

between the 2 critical value: no conclusion

Larger than upper bound: cannot reject Ho

Smaller than lower bound: reject Ho