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ljungbox

Ljung-Box autocorrelation test

CALLING SEQUENCE

res = ljungbox(namey,p,arg1,...,argn)

PARAMETERS

Input

* namey = a time series, a real (nx1) vector or a string equal to the name of a time series or a (nx1) real vector between quotes

* p = a scalar, the # of autocorrelations considered

* argi = arguments which can be:

  - 'noplt' if the user does not want to plot the autocorrelations

  - 'noprint' if the user does not want to print the results of the test

  - 'meth=Box-Pierce' if the user wants to use the Box-Pierce formula instead of the Ljung-Box one

  - 'size=x' if the user wants to choose the size of the autocorrelation confidence band (defaut = 0.05)

  - 'styleg=x' with x between 1 and 7 if the user wants to choose the location of the legend for the graph of autocorrelations (default = 7, that is to the right of the graph)

  - 'corrdf=x' whther x is the number to subtract from the entered # of autocorrelations to obtain the correct # of degrees of fredom for the test  statistic (default = " of AR and MA parameters for an arma model, 0 in other cases)

  - 'dropna' if the user wants to remove the NA values from the data 

 

Output

* res = a results tlist with:

  - res('meth') = 'Ljung-Box' or 'Box-Pierce'

  - res('y') = values of the input variable (residuals in the case of a tlist)

  - res('acf') = autocorrelation coefficients

  - res('acf_l') = low bound of the confidence interval

  - res('acf_u') = upper bound of the confidence interval

  - res('size') = size of the confidence band

  - res('chistat') = Ljung-Box (or Box-Pierce) chi-squared

  - res('chi_pvalue') = the p-value of the test

  - res('chi_df') = the # of degrees of freedom

  - res('namey') = name of the variable tested

  - res('prests') = a boolean indicating whether the tested variable is a ts

  - res('bounds') = the estimation period (if the variable was a ts)

  - res('dropna') = boolean indicating if NAs have been droped

  - res('nonna') = vector indicating position of non-NAs (if the option 'dropna' was active)

DESCRIPTION

Computes the Ljung-Box Q test of autocorrelation for a vector or the residuals of a results tlist.

EXAMPLE

load(GROCERDIR+'/macros/grocer/db/bdhenderic.dat');
bounds()
res1=ljungbox('delts(lm1)',6)
// Example taken from function ljungbox_d. Provides the Ljung-Box test for the variation of the logrithm of M1
// in the UK and 1 to 6 autocorrelations.
r=varma_d4();res2=ljungbox(r,10)
// Also taken from function ljungbox_d. Example 2 provides the Ljung-Box test for the residuals of the arma estimation
// provided in demo varma_d4() and 1 to 10 autocorrelations.

AUTHOR

Eric Dubois 2007

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