FinTS (version 0.4-5)

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"),
            df=lag )

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 accur

df

a positive number giving the degrees of freedom for the reference chi-squre distribution used to compute the p-value for the statistic. This makes it easy to call AutocorTest with the residuals from a fit and have the p-value compute

Value

• a list of class 'htest' containing the following components:
• statistic
  a number giving the value of the test statistic.
• paramter
  a number giving the degrees of freedom of the approximate chi-squared distribution of the test statistic used to compute the p.value.
• p.value
  the p-value of the test.
• method
  a character string indicating which type of test was performed. If(df != lag), this character string ends with paste("(lag = ", lag, ")", sep="").

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 ARIMA

Examples

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

AT4 <- AutocorTest(m.ibm2697, 5, df=4)
str(AT4) # $method = "Box-Ljung test (lag = 5)"