Please fix your email settings: your 'From:' field is not in the
correct encoding, so I had to manually copy the ASCII part. (The
header as received here said it was UTF-8, but it is not valid UTF-8.
Most likely no encoding was declared your end.)
On Sat, 27 Aug 2011, Marcin P????ciennik wrote:
> Dear list members,
>
> I have 982 quotations of a given stock index and I want to run a Ljung-Box
> test on these data to test for autocorrelation. Later on I will estimate 8
> coefficients.
> I do not know how many degrees of freedom should I assume in the formula
for
> Ljung-Box test. Could anyone tell me please?
Nor does anyone else without knowing what 'x' is. But from the help
page:
fitdf: number of degrees of freedom to be subtracted if ?x? is a
series of residuals.
Details:
These tests are sometimes applied to the residuals from an
?ARMA(p, q)? fit, in which case the references suggest a better
approximation to the null-hypothesis distribution is obtained by
setting ?fitdf = p+q?, provided of course that ?lag > fitdf?.
So is 'x' a set of residuals from an ARMA fit? If so, the help page
told you how, and if it is a not a fit note the word 'if' in the
description of 'fitdf'.
> Below the formula:
>
> Box.test(x, lag = ????, type = c("Ljung-Box"), fitdf = 0)
>
>
> Thank you very much in advance.
> Best regards
> Marcin
>
> [[alternative HTML version deleted]]
Please don't send HTML as you were explicitly asked in the posting
guide. Very likely that exacerbated the encoding confusion.
> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
--
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595