LBStat {PRTest}R Documentation

Evaluate Ljung-Box portmanteau statistic

Description

Usage

LBStat(a, lags = seq(5, 40, 5))

Arguments

a time series
lags lags at which the portmanteau statistic is evaluated

Details

The statistic

Q_m = n (n+2) sum_{k=1}^m frac{r^2_k}{n-k}

where r_k is the autocorrelation at lag k and n is the length of the time series. The use of squared residuals for detecting nonlinearity and ARCH-like effects is discussed in Li (2004).

Value

Author(s)

A.I. McLeod

References

Ljung, G.M. and Box, G.E.P. (1979). The Likelihood Function of Stationary Autoregressive-Moving Average Models. Biometrika 66, 265-270.

Li, W.K. (2004). Diagnostic Checks in Time Series. Chapman & Hall/CRC.

See Also

LBNTest, PRTest, Box.Test

Examples

data(DEXCAUS)
r<-Returns(DEXCAUS)
LBStat(r, lags=c(10,25,50))

[Package PRTest version 1.0 Index]