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explanatory variable in Durbin Watson test for testing share return series

By Thomas | Aug 09, 2017 09:02AM CEST

Hi,

I am attempting to find the Durbin Watson statistic from the series of share return(R) from 2017, 1 Jan to 2017, 31 Jan.

According to Durbin Watson test, XLSTAT asks for two information. First is residuals, and second is explanatory variables. I am sure for the residual that I have to select the series of (Ri - Rmean) from 2017, 1 Jan to 2017, 31 Jan. However, I do not know that what I have to select for the explanatory variables, so I select number 1 to 31. Is that correct? if not, then, what data I have to select in this case.

Please give me a suggestion.

Thank you
Thomas

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By Thierry | Aug 09, 2017 07:45PM CEST | XLSTAT Agent

The DW test is used after a linear regression. A linear regression model is Y=BX + e. X are the predictors or explanatory variables. This is what is required by the DW test. The residuals are the difference between the observed and preodicted values.

Regards,

Thierry

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