SET NOECHO
proc dwpvalue
* CALCULATION OF A P-VALUE FOR THE DURBIN-WATSON TEST STATISTIC
*  Revision date: March 23, 1996
set nodoecho
?gen1 T_=$n
SAMPLE 1 T_
genr one_=1
copy [X] one_ x_ / TROW=1;T_
* compute m
matrix m_=iden(t_)-x_*inv(x_'x_)*x_'
* generate the a matrix
genr d_=2
if(time(0).eq.1) d_=1
if(time(0).eq.t_) d_=1
matrix a_=iden(t_,2)
matrix a_=-(a_+a_')+diag(d_)
* compute the eigenvalues of ma
matrix ma_=m_*a_
matrix e_=eigval(ma_)
* run ols just to get the dw statistic, it is stored in $dw
?ols [y] [x] / rstat
?gen1 ne_=$df
?gen1 dw_=$dw
* use the distrib command to compute the exact dw probability
?dist dw_ / eigenval=e_ type=imhof neigen=ne_
?gen1 pvalue_=$cdf
print dw_ pvalue_
DELETE / ALL_
SET DOECHO
PROCEND
SET ECHO