ac_test_: Tests for autocorrelation

Description Usage Arguments Details Value See Also Examples

Description

Usage

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Arguments

x

an ivx model or a numeric vector, usually the residuals from an ols regression.

lag

the number of lags.

order

lag TODO

type

the type of test statistic to be returned. Either "Chisq" for the Chi-squared test statistic or "F" for the F test statistic.

fill

starting values for the lagged residuals in the auxiliary regression. By default 0 but can also be set to NA.

Details

#' If p-value < 0.051: You can reject the null hypothesis assuming a 5% chance of making a mistake. So you can assume that your values are showing dependence on each other.

Value

a numeric scalar or numeric vector.

See Also

Box.test lmtest::bgtest

Examples

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mdl <- ivx(hpi ~ cpi + inv, data = ylpc)
ac_test_wald(mdl)

ivx documentation built on Nov. 27, 2020, 5:09 p.m.