How to test for independence of residuals in linear model?
What can I plot? What can I look for in the plots?
Or are there some other statistics that I can compute?
[I thought I’d be able to find a close duplicate with a similar answer but a couple of searches didn’t turn up something suitable for some reason. I’ll post an answer for now but I may still locate a duplicate.]
Note that residuals are not actually independent. It’s the error term that’s assumed to be independent. The residuals estimate the error term but they’re definitely dependent.
There are many, many ways for errors to fail to be independent, so it’s quite hard to do a general test for dependence (there are a few very general dependence tests but they require very large sample sizes to pick much up; failing to find dependence with a test that has its power scattered to the four winds is not much consolation). For more typical problems, you really need to specify what kind of dependence you might be looking for. For example, if you have observations over time, you might anticipate autocorrelation, which is easy to look for via an acf plot. If you suspect some form of intra-class correlation where there’s a “class” variable not in the model (or indeed any dependence due to a variable not being in the model) but you have the variable or a reasonable proxy, it’s easy enough to see whether residuals relate to that variable. So if you can elucidate a likely source of dependence in your problem, that will tell you a great deal about what kinds of things to look for.