h-test (see below) or likelihood ratio tests, that are valid in large samples, should be used. Durbin h-statistic The Durbin–Watson statistic is biased for autoregressive moving average models, so that autocorrelation is underestimated. But for large samples one can easily compute the unbiased normally distributed h-statistic: using the Durbin–Watson statistic d and the estimated variance of the regression coefficient of the lagged dependent variable, provided Implementations in statistics packages R: the dwtest function in the lmtest package, durbinWatsonTest (or dwt for short) function in the car package, and pdwtest and pbnftest for panel models in the plm package. MATLAB: the dwtest function in the Statistics Toolbox. Mathematica: the Durbin–Watson (d) statistic is included as an option in the LinearModelFit function. SAS: Is a standard output when using proc model and is an option (dw) when using proc reg. EViews: Automatically calculated when using OLS regression gretl: Automatically calculated when using OLS regression Stata: the command estat dwatson, following regress in time series data. Engle's LM test for autoregressive conditional heteroskedasticity (ARCH), a test for time-dependent volatility, the Breusch–Godfrey test, and Durbin's alternative test for serial correlation are also available. All (except -dwatson-) tests separately for higher-order serial correlations. The Breusch–Godfrey test and Durbin's alternative test also allow regressors that are not strictly exogenous. Excel: although Microsoft Excel 2007 does not have a specific Durbin–Watson function, the d-statistic may be calculated using =SUMXMY2(x_array,y_array)/SUMSQ(array) Minitab: the option to report the statistic in the Session window can be found under the "Options" box under Regression and via the "Results" box under General Regression. Python: a durbin_watson function is included in the statsmodels package (statsmodels.stats.stattools.durbin_watson), but statistical tables for critical values are not available there. SPSS: Included as an option in the Regression function. Julia: the DurbinWatsonTest function is available in the HypothesisTests package. See also Time-series regression ACF / PACF Correlation dimension Breusch–Godfrey test Ljung–Box test Notes References External links Table for high n and k by Mark Thoma Time series statistical tests Autocorrelation