FinTS (version 0.2-4)

AutocorTest: Box-Ljung autocorrelation test

Description

Ljung-Box test for autocorrelation

Usage

AutocorTest(x, lag=ceiling(log(length(x))),
            type=c("Ljung-Box", "Box-Pierce", "rank") )

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

type

which Box.test 'type' should be used? Partial matching is used. The 'rank' alternative computes 'Ljung-Box' on rank(x); see Burns (2002) and references therein. NOTE: The default 'Ljung-Box' type generally seems to be more a

source

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

Details

This is provided for compatibility with 'autocorTest' in the S-Plus script in Tsay (p. 30). It is a wrapper for the R function 'Box.test'.

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley) Patrick Burns (2002) 'Robustness of the Ljung-Box Test and its Rank Equivalent', http://www.burns-stat.com/pages/Working/ljungbox.pdf, accessed 2007.12.29.

See Also

Box.test

Examples

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