Pruebas de Autocorrelacion

library(wooldridge)
data("hprice1")
head(force(hprice1), n=5)

##   price assess bdrms lotsize sqrft colonial   lprice  lassess llotsize   lsqrft
## 1   300  349.1     4    6126  2438        1 5.703783 5.855359 8.720297 7.798934
## 2   370  351.5     3    9903  2076        1 5.913503 5.862210 9.200593 7.638198
## 3   191  217.7     3    5200  1374        0 5.252274 5.383118 8.556414 7.225482
## 4   195  231.8     3    4600  1448        1 5.273000 5.445875 8.433811 7.277938
## 5   373  319.1     4    6095  2514        1 5.921578 5.765504 8.715224 7.829630

modelo_lineal<-lm(formula =   price ~lotsize+sqrft+bdrms, data = hprice1)
summary(modelo_lineal)

## 
## Call:
## lm(formula = price ~ lotsize + sqrft + bdrms, data = hprice1)
## 
## Residuals:
##      Min       1Q   Median       3Q      Max 
## -120.026  -38.530   -6.555   32.323  209.376 
## 
## Coefficients:
##               Estimate Std. Error t value Pr(>|t|)    
## (Intercept) -2.177e+01  2.948e+01  -0.739  0.46221    
## lotsize      2.068e-03  6.421e-04   3.220  0.00182 ** 
## sqrft        1.228e-01  1.324e-02   9.275 1.66e-14 ***
## bdrms        1.385e+01  9.010e+00   1.537  0.12795    
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
## 
## Residual standard error: 59.83 on 84 degrees of freedom
## Multiple R-squared:  0.6724, Adjusted R-squared:  0.6607 
## F-statistic: 57.46 on 3 and 84 DF,  p-value: < 2.2e-16

#Prueba Durbin Watson

library(lmtest)
dwtest(modelo_lineal, alternative = "two.sided", iterations = 1000)

## 
##  Durbin-Watson test
## 
## data:  modelo_lineal
## DW = 2.1098, p-value = 0.6218
## alternative hypothesis: true autocorrelation is not 0

#El p-value es mayor que el nivel de significancia por lo que no hay evidencia de autocorrelacion 

#Prueba con mult. Lagranje

library(lmtest)
bgtest(modelo_lineal, order = 1 )

## 
##  Breusch-Godfrey test for serial correlation of order up to 1
## 
## data:  modelo_lineal
## LM test = 0.39362, df = 1, p-value = 0.5304

bgtest(modelo_lineal, order =  2 )

## 
##  Breusch-Godfrey test for serial correlation of order up to 2
## 
## data:  modelo_lineal
## LM test = 3.0334, df = 2, p-value = 0.2194

#Podemos concluir que en ambos casos p-value es mayor al nivel de significancia por lo que no hay evidencia de autocorrelacion.