Displaying 2 results from an estimated 2 matches for "residual_t".
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2004 Jan 14
3
How can I test if time series residuals' are uncorrelated ?
...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 independent distributed !
(and we know that they aren't normally distributed and they aren't
indentically distributed )
And how can I tested it ?
Thanks.
> Hint, if a ts is normally distributed then independence and
uncorrelatedness...
2004 Jan 13
3
How can I test if a not independently and not identically distributed time series residuals' are uncorrelated ?
I'm analizing the Argentina stock market (merv)
I download the data from yahoo
library(tseries)
Argentina <- get.hist.quote(instrument="^MERV","1996-10-08","2003-11-03", quote="Close")
merv <- na.remove(log(Argentina))
I made the Augmented Dickey-Fuller test to analyse
if merv have unit root:
adf.test(merv,k=13)
Dickey-Fuller = -1.4645,