portmanteau.test: Performing a Portmanteau test checking for remaining...
In BEKKs: Multivariate Conditional Volatility Modelling and Forecasting
View source: R/Portmanteau_test.R
portmanteau.test R Documentation
Performing a Portmanteau test checking for remaining correlation in the empirical co-variances of the estimated BEKK residuals.
Description
Method for a Portmanteau test of the null hypothesis of no remaining correlation in the co-variances of the estimated BEKK residuals.
Usage
portmanteau.test(x, lags = 5)
Arguments
x
An object of class "bekkFit" from function bekk_fit.
lags
An integer defining the lag length.
Details
Here, the multivariate Portmanteau test of Hosking (1980) is implemented.
Value
Returns an Object of class "htest" containing the p-value and test statistic.
References
J. R. M. Hosking (1980). The Multivariate Portmanteau Statistic, Journal of the American Statistical Association, 75:371, 602-608.
BEKKs documentation built on April 12, 2025, 1:17 a.m.
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View source: R/Portmanteau_test.R
| portmanteau.test | R Documentation |
Performing a Portmanteau test checking for remaining correlation in the empirical co-variances of the estimated BEKK residuals.
Description
Method for a Portmanteau test of the null hypothesis of no remaining correlation in the co-variances of the estimated BEKK residuals.
Usage
portmanteau.test(x, lags = 5)
Arguments
x |
An object of class "bekkFit" from function bekk_fit. |
lags |
An integer defining the lag length. |
Details
Here, the multivariate Portmanteau test of Hosking (1980) is implemented.
Value
Returns an Object of class "htest" containing the p-value and test statistic.
References
J. R. M. Hosking (1980). The Multivariate Portmanteau Statistic, Journal of the American Statistical Association, 75:371, 602-608.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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