FinTS (version 0.1-17)

autocorTest: Box-Ljung autocorrelation test

Description

Ljung-Box test for autocorrelation

Usage

autocorTest(x, lag=log(length(x)))

Arguments

x

a numeric vector or a univariate time series

lag

the statistic will be based on 'lag' autocorrelation coefficients. Tsay (p. 27-28) says, "Simulation studies suggest that the choice of [lag = log(length(x))] provides better power performance. This general rule needs modification in analy

source

http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2

Details

This is provided for compatibility with the S-Plus script in Tsay (p. 30).

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley)

See Also

BoxTest

Examples

data(m.ibm2697)
autocorTest(m.ibm2697, 5)