Durbin Watson

CFA Level II
#1

I understand the scenerio for Positive serial correlation

If DW < Dl —> reject the null and therefor Positive Serial Correlation Present

Dl < DW < Du ----> Inconclusive

DW > Du ----> Fail to reject

What about negative serial correlation

In foot notes it says ----> if DW > 4 - Dl ----> Reject the null and therefor NEGATIVE serial correlation.

I thought it was just DW > Du then negative. Going with the text. What are the ranges for Inconclusive and fail to reject for the Negative Serial Correlation?

Inconclusive I’m assuming is Dl < DW < 4 - Dl

Im assuming Fail to Reject is DW < Dl

Thanks,

#2

I wrote an article on the Durbin-Watson test that may be of some help: http://financialexamhelp123.com/durbin-watson-statistic-test/

#3

Fantastic. My range was off with the negative serial correlation. Got it now.

Thanks again.

#4

My pleasure.