Hi, can't take responsibility for anything incorrect, but a good indicator of autocorrelation.

use at own discretion.



var durbin_Watson_test(vars src, var len)
{

vars y = series(log(src[0]/src[1]));
vars x = series(Bar);
vars xy = series(x[0] * y[0]);
vars powx = series(pow(x[0], 2));
vars powy = series(pow(y[0], 2));
var sumy = Sum(y, len);
var sumx = Sum(x, len);
var sumxy = Sum(xy, len);
var sumx2 = Sum(powx, len);
var sumy2 = Sum(powy, len);

var B = ((len*sumxy) - sumx*sumy)/((len*sumx2) - pow(sumx,2));
var a = ((sumy - B*sumx)/len);

var Y = B*x[0] + a;

int i;
var d;
var e;
vars f = series(0);
for(i=0;i<=len-1;++i)
{

f[i] = y[i] - (B*(x[0]-i) + a);

d += pow(f[i + 1] - f[i], 2);

}
for(i=0;i<=len;++i)
{

e += pow(f[i], 2);



}


var DW = d/e;

return DW;
}