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Co-authored-by: jose-donato <zmcdonato@gmail.com>
Co-authored-by: jose-donato <43375532+jose-donato@users.noreply.github.com>
Co-authored-by: andrewkenreich <andrew.kenreich@gmail.com>
2023-10-30 21:01:29 +00:00

2.5 KiB
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title, description, keywords
title description keywords
dwat Detailed explanation of Durbin Watson autocorrelation test calculations and chart visualisation using OpenBBTerminal's econometrics functions.
Docusaurus
Econometrics
Durbin Watson
Autocorrelation
Statistical modelling
Regression
Data visualisation

import HeadTitle from '@site/src/components/General/HeadTitle.tsx';

import Tabs from '@theme/Tabs'; import TabItem from '@theme/TabItem';

Calculate test statistics for Durbin Watson autocorrelation

Source Code: [link]

openbb.econometrics.dwat(model: statsmodels.regression.linear_model.RegressionResultsWrapper)

Parameters

Name Type Description Default Optional
model statsmodels.regression.linear_model.RegressionResultsWrapper Previously fit statsmodels OLS. None False

Returns

Type Description
float Test statistic of the Durbin Watson test.

Examples

from openbb_terminal.sdk import openbb
df = openbb.econometrics.load("wage_panel")
Y, X = df["lwage"], df[["exper","educ"]]
model = openbb.econometrics.ols(Y,X)
durbin_watson_value = openbb.econometrics.dwat(model)
0.96

Show Durbin-Watson autocorrelation tests

Source Code: [link]

openbb.econometrics.dwat_chart(model: statsmodels.regression.linear_model.RegressionResultsWrapper, dependent_variable: pd.Series, plot: bool = True, export: str = "", external_axes: Optional[List[axes]] = None)

Parameters

Name Type Description Default Optional
model OLS Model A fit statsmodels OLS model. None False
dependent_variable pd.Series The dependent variable for plotting None False
plot bool Whether to plot the residuals True True
export str Format to export data True
external_axes Optional[List[plt.axes]] External axes to plot on None True

Returns

This function does not return anything