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refect
2004 Jan 14
0
How can I test if a not independently and not identicallydistributed time series residuals' are uncorrelated ?
...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 REGECT (mistake in laste e-mail)
the null hypothesis,
than the residuals are NOT independently distributed.
Because the residuals are not independently distributed, we know that the
squares of residuals are correlated:
cov[(residuals_t)^2, (residuals_(t-k))^2] <> 0 (not zero for k <> 0)
But...