Displaying 1 result from an estimated 1 matches for "sp500datasetfitma2".
2006 Feb 15
1
question about the results given by the Box.test?
...eck for the randomness of
the residuals? Is a p-value > 0.05 (or < 0.05) enough?
What if I have a very large p-value of 0.9796 at lag
1, but its value is 0.0139 at lag 8?
For example, here's what I got for the first 10 lags
of the residuals I'm testing:
-------------------
Box.test(SP500DataSetFitMA2$residuals, type =
"Ljung", lag =1)
Box-Ljung test
data: SP500DataSetFitMA2$residuals
X-squared = 7e-04, df = 1, p-value = 0.9796
> Box.test(SP500DataSetFitMA2$residuals, type =
"Ljung", lag =2)
Box-Ljung test
data: SP500DataSetFitMA2$residuals
X-squar...