search for: ljung

Hello, I am using the Ljung Box test in R to compute if the resiudals of my fitted model is random or not. I am not sure though what the results mean, I have looked at various sources on the internet and have come up with contrasting explanations (mainly because these info deal with different program languages, like SAS, SPS...

Hi all I'm using the Box-Ljung test (from within R) to test if a time-series in independently distributed. 2 questions: 1) p-value returned by Box-Ljung: IF I want to test if the time-series is independant at say 0.05 sig-level (it means that prob of erroneously accepting that the time-series is independent is 0.05 right?) -...

Dear colleagues, I am new to R and statistics so please keep that in mind. I have doubts on the df calculation of Ljung-Box test (Box.test). The function seems to use always the df=lag=m and not df=m-p-q like suggested in Ljung and Box (1978) paper (that is referenced). Do you agree with this? If so, is there an R package function that computes Ljung-Box test with the degrees of freedom as described in Ljung and...

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? Below the formula: Box.test(x, lag = ????, type = c("Ljung-Box"), fitdf =...

I fit a simple linear model y = bX to a data set today, and that produced 24 residuals (I have 24 data points, one for each year from 1984-2007). I would like to test the time-independence of the residuals of my model, and I was recommended by my supervisor to use the Ljung-Box test. The Box.test function in R takes 4 arguments:  x a numeric vector or univariate time series. lag the statistic will be based on lag autocorrelation coefficients. type test to be performed: partial matching is used. fitdf number of degrees of freedom to be subtracted if x is a series o...

...e series with missing data. *Q1)* However, I am not sure if I should use the next *graphics* to understand my data: *a)* ACF & PACF (original series) *b)* ACF & PACF (residuals) * * *Q2)* I am using *tsdiag*, so I obtain a graphic with 3 plots: stand. residuals vs time; acf for residuals; Ljung-Box for residuals (it is wrong for residuals). I know that using Box.test with type Ljung-Box, I can specify a correct df to my estimated model (fitdf = p + q). So, I could do this test with different lags, evaluate their significance, and then plot it. However, in Box.test NA are not handled. But,...

Hi All R Experts, I met with below mentioned statistics in paper "Stock Index Volatility Forecasting with High Frequency Data" by Eugenie Hol, Siem Jan Koopman http://ideas.repec.org/p/dgr/uvatin/20020068.html I would like to ask that what is "Box-Ljung portmantacau statistic based on N squared autocorrelation" ? Is it same as "Box-Ljung Statistics" of stats package ? Further, please tell me how to compute it ? I have a return series of an Index. Please help me in this i am not able to get the statistics what is given in the pape...

two ARIMA models, both have several bars signicant in ACF and PACF plots of their residuals, but when run Ljung Box tests, both don't show any significant correlations... however, one model has p-value that is larger than the other model, based on the p-values, can I say the model with larger p-values should be better than the model with smaller p-values? [[alternative HTML version deleted]]

Hi! I know that there is function in fBasics package for univariate Jarque-Bera test and a funtion for univariate Ljung-Box test in stats package. But I am wondering if there is a function somewhere to do the tests for multivariate time series? Thanks, John [[alternative HTML version deleted]]

Dear All, I want to create a loop within a function r. The example follows: Box.test (lfut, lag = 1, type="Ljung") if i want to compute the Box.test for lag 1 to 10, I have to write manually change each time for different lag. So i wan to write a loop for the lag 1 to 10 and return the statistics for each lag. Is there any method to do this ? With regards, Upananda -- You may delay, but time will...

Full_Name: Peter Solymos Version: 2.8.1 OS: Windows Submission from: (NULL) (129.128.141.92) The help page of the Box.test function (stats) states that the Ljung-Box test was published in: Ljung, G. M. and Box, G. E. P. (1978), On a measure of lack of fit in time series models. Biometrika 65, 553--564. The page numbers are incorrect. The correct citation should be as follows: Ljung, G. M. and Box, G. E. P. (1978), On a measure of lack of fit in time ser...

After an RSiteSeach("Box.test") I found some discussion regarding the degrees of freedom in the computation of the Ljung-Box test using Box.test(), but did not find any posting about the proper degrees of freedom. Box.test() uses "lag=number" as the degrees of freedom. However, I believe the correct degrees of freedom should be "number-p-q" where p and q are the number of estimated paramet...

...hch-Pagan test to test if residuals are identically distributed: library(lmtest) bptest(merv[2:1730]~-1+merv[1:1729],~merv[1:1729]+I(merv[1:1729])^2) BP = 81.3443, df = 2, p-value = < 2.2e-16 So merv.reg$resid aren't identically distributed. Than merv is heteroscedastik. Finally I made Box-Ljung test to test if residuals are independently distributed: (H0: merv.reg$resid are independently distributed) library(ts) merv.reg <- lm(merv[2:1730]~-1+merv[1:1729]) Box.test(merv.reg$resid, lag=25,type="Ljung") X-squared = 54.339, df = 25, p-value = 0.0006004 So, there is evidence to...

...rnative hypothesis: stationary Warning message: p-value smaller than printed p-value in: pp.test(melbmax, alternative = "stationary") > Box.test(melbmax) Box-Pierce test data: melbmax X-squared = 1893.093, df = 1, p-value < 2.2e-16 > Box.test(melbmax,type="Ljung-Box") Box-Ljung test data: melbmax X-squared = 1894.650, df = 1, p-value < 2.2e-16 > kpss.test(melbmax) KPSS Test for Level Stationarity data: melbmax KPSS Level = 0.1163, Truncation lag parameter = 13, p-value = 0.1 Warning message: p-value greater than printed...

...before? The problem I have is try to do a regression with several time series. An alternative is to use the GLS function to fit the linear regression with the correlation structure AR(3) for the response (or residual). I hope the residuals after the GLS regression will be independent judged by Box-Ljung test. However, I dont know how the residuals are defined in the GLS function. Is it just y-yhat or y-yhat times the (covariance matrix)^(-1/2). Because y-yhat still has the AR(3) covariance structure and surely be rejected by the Box-Ljung test. The latter will be independent if the assumption of A...

Hi, I have a binary (o/1 - coded) data set and want to test it's autocorrelation structure. Is that function implemented in R? Can I use the ACF - funtion with binary data? Thanks for your help, Daniel

Hello, I have time series and need to draw simple and partial correlograms with associated Q-statistics (the same as in EViews). Can I do it in R? Thanks --------------------------------- [[alternate HTML version deleted]]

HI list, I want to know whether tsdiag uses k-(p+q) as the lag in ljung box test. How is it possible to save those values nuncio -- Nuncio.M Research Scientist National Center for Antarctic and Ocean research Head land Sada Vasco da Gamma Goa-403804 [[alternative HTML version deleted]]

...residuals (merv.reg$residual) library(tseries) jarque.bera.test(merv.reg$residual) X-squared = 1772.369, df = 2, p-value = < 2.2e-16 And I reject the null hypotesis (H0: merv.reg$residual are normally distributed) So I know that: 1 - merv.reg$residual aren't independently distributed (Box-Ljung test) 2 - merv.reg$residual aren't indentically distributed (Breusch-Pagan test) 3 - merv.reg$residual aren't normally distributed (Jarque-Bera test) My questions is: It is possible merv.reg$residual be uncorrelated ? cov[residual_t, residual_(t+k)] = 0 ? Even when residuals are not ind...

Hello, First, sorry for my poor english, I will try to be understood. It's the first time I try this "r-help mailing list" and I hope it will be a success. I am working on heteroscedasticity analysis. I would like to get the "Box-Ljung" and the "Lagrange multipliers" test. I found the first one in the library "ts", but I can't find the second one. Does anybody know how this test can be called. Vincent Spiesser