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RE: How to calculate Durbin-Watson under systemfit? [ reply ]
By: Arne Henningsen on 2014-09-14 06:51
[forum:41451]
Dear Yu

It is not difficult to calculate DW values but I am currently busy with other projects, Please do not hesitate to file a feature request or implement this feature in systemfit.

Best regards,
Arne

RE: How to calculate Durbin-Watson under systemfit? [ reply ]
By: Yu Zhang on 2014-08-18 00:08
[forum:41379]
Dear Arne,

Thank you for your kind reply.
I will appreciate it very much if you could tell me why it is difficult to calculate DW values under systemfit. I noticed that this issue had been asked several years ago. Thank again.

Yu

RE: How to calculate Durbin-Watson under systemfit? [ reply ]
By: Arne Henningsen on 2014-08-14 06:26
[forum:41372]
Dear Yu

Unfortunately, we haven't yet implemented the calculation of the Durbin-Watson statistic in systemfit. Hence, you have to do it manually. Sorry!

You could create a feature request so that this does not disappear from my to-do list:

https://r-forge.r-project.org/tracker/?atid=986&group_id=242

I agree that an implementation of the Parks (1967) estimator could be a useful enhancement of the systemfit package. However, I doubt that I will have sufficient time for this in the near future. You can also create a feature request for the Park estimator.

...and of course your are invited to join the systemfit team and to implement these features yourself.

Best wishes,
Arne

How to calculate Durbin-Watson under systemfit? [ reply ]
By: Yu Zhang on 2014-08-12 04:39
[forum:41344]
Dear Arne,

I am using systemfit to estimate equations of supply and demand of a product in a region by using time series data, including quantity and price.
Now I wonder how to calculate Durbin-Watson value for each equation.

<The package could be enhanced by the inclusion of methods to t equations with serially correlated and heteroscedastic disturbances (Parks 1967).> Progress is expected. Thanks a lot.

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Vienna University of Economics and Business University of Wisconsin - Madison Powered By FusionForge