Why use DW to test for random walk?

[Datatarium]

Anyone?

[oscar peterson]

If the variable is a random walk (w/o drift?), I think yt minus yt-1 (in the numerator of the DW stat) should equal zero. I think the Econometrics textbook discusses this in the section on co-integration........

[Datatarium]

Thanks

[1695814]

and don't forget that DW ~ 2(1-rho)

so that if DW = 0, rho = -1
if DW = 2, rho = 0
and if DW = 4, rho = +1

[KingofTheWorld]

DW knows about random walk. I've walked randomly the few times I was at their happy hours.

[Vic Romano]

I hear ya, brother. David Ueki sent me a bottle of wine that knocked me on my ass.