
Check model for independence of residuals.
Source:R/check_autocorrelation.R
check_autocorrelation.Rd
Check model for independence of residuals, i.e. for autocorrelation of error terms.
Usage
check_autocorrelation(x, ...)
# S3 method for default
check_autocorrelation(x, nsim = 1000, ...)
Arguments
- x
A model object.
- ...
Currently not used.
- nsim
Number of simulations for the Durbin-Watson-Test.
Value
Invisibly returns the p-value of the test statistics. A p-value < 0.05 indicates autocorrelated residuals.
Details
Performs a Durbin-Watson-Test to check for autocorrelated residuals. In case of autocorrelation, robust standard errors return more accurate results for the estimates, or maybe a mixed model with error term for the cluster groups should be used.
Examples
m <- lm(mpg ~ wt + cyl + gear + disp, data = mtcars)
check_autocorrelation(m)
#> OK: Residuals appear to be independent and not autocorrelated (p = 0.284).