Description Usage Arguments Details Value Note Author(s) References See Also Examples
The Ljung-Box Portmanteau test for the goodness of fit of ARIMA models is implemented.
1 | LjungBoxTest(res, k=0, lag.max=30, StartLag=1, SquaredQ=FALSE)
|
res |
residuals |
k |
number of ARMA parameters, default k = 0 |
lag.max |
maximum lag, default MaxLag = 30 |
StartLag |
test is done for lags m=StartLag:MaxLag, default StartLag = 1 |
SquaredQ |
if TRUE, use squared residuals for ARCH test, default Squared = FALSE |
This test is described in detail in Wei (2006, p.153, eqn. 7.5.1). The df are given by h-k, where h is the lag, running from StartLag to lag.max, when h-k < 1, it is reset to 1. This is ok, since the test is conservative in this case.
A powerful test for ARCH and other nonlinearities is obtained by using squared values of the series to be tested (McLeod & Li, 1983). Note that if Squared=TRUE is used the data "res" is centered by sample mean correction before squaring.
A matrix with columns labelled m, Qm, pvalue, where m is the lag and Qm is the Ljung-Box Portmanteau statistic and pvalue its p-value.
This test may also be used to test a time series for randomness taking k = 0.
A.I. McLeod
W.W.S. Wei (2006, 2nd Ed.), Time Series Analysis: Univariate and Multivariate Methods.
A.I. McLeod. & W.K. Li (1983), Diagnostic checking ARMA time series models using squared-residual autocorrelations, Journal of Time Series Analysis 4, 269–273.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 | #test goodness-of-fit of AR(2) model fit to log(lynx)
data(lynx)
z<-log(lynx)
ans<-FitAR(z, 1:2)
#notice that the test is also available as a component of the output of FitAR
ans$LjungBox
#a plot of the test is produced
plot(ans)
#doing the test manually
res<-resid(ans)
LjungBoxTest(res, k=2, lag.max=20, StartLag=5)
#test for subset case
z<-log(lynx)
pvec<-SelectModel(z, ARModel="ARz", Criterion="BIC", lag.max=10, Best=1)
ans<-FitAR(z, pvec)
plot(ans)
res<-resid(ans)
LjungBoxTest(res, k=length(pvec), lag.max=20, StartLag=11)
#test for ARCH effect,
LjungBoxTest(res,SquaredQ=TRUE)
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