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DurbinWatsonCrit5pct


Unit: SDL_statis
Class: none
Declaration: function DurbinWatsonCrit5pct (NData, NParam: integer; var dLower, dUpper: double): boolean;

The function DurbinWatsonCrit5pct calculates the critical values of the Durbin-Watson test at the 5% significance level. The parameters NData and NParam specify the number of data points (valid range: 6 to 2000) and the number of involved variables (valid range: 1..20, NParam=1 corresponds to a line, i.e. y = kx + d).

The function returns the two critical limits dLower and dUpper which are accurate to at least 4 decimal places. The null hypothesis (there is no serial correlation) has to be rejected if the test statistic is less than dwLower, and must not be rejected if it is greater than dwUpper. If the test statistic is between dwLower and dwUpper, the Durbin-Watson test is inconclusive.

The function returns TRUE if the parameters are within valid ranges.



Last Update: 2020-Aug-12