Stocks & Commodities V. 22:4 (60): Sidebar: Durbin Watson statistic by Ron McEwan
The Durbin Watson statistic is a test that looks for first-order autocorrelation in the residuals of a time-series regression. The residual for time period t is compared with the residual for time period t–1, resulting in a statistic that measures the significance
of this correlation. The value of the statistic ranges from zero to 4, with 2 indicating that there is no serial correlation. Sidebar Figure 1 shows a spreadsheet for calculating the autocorrelation for 10 securities.