VMA Order Specification
Performs multivariate Ljung-Box tests to specify the order of a VMA process
Data matrix of the observed k-dimensional time series. Each column represents a time series.
The maximum VMA order entertained. Default is 20.
For a given lag, the command computes the Ljung-Box statistic for testing rho_j = ... = rho_lag = 0, where j = 1, 2, ..., lag. For a VMA(q) process, the Ljung-Box statistics should be significant for the first q lags, and insignificant thereafter.
The Q-statistics and p-value plot
Ruey S. Tsay
Tsay (2014). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
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