Nothing
whitenoise.test <-
function(x)
{
# This programme performs the Lobato-Velasco white noise test
# Econometric Theory, Vol. 20, Issue 04, 2004
n<- length(x)
# compute acf function
gam<- acf(x,type="covariance")
# sample autocovariance at lag 0 is gam0
gam0<- gam$acf[1]
# compute periodogram of x
ILAM<- spec.pgram(x,taper=0,fast=FALSE)
ILAM<- ILAM$spec
T<- length(ILAM)
# compute CVM statistic MN
P2<- (T^(-1))*(sum(ILAM^2))
MN<- (P2/gam0^2)-1
# compute test statistic tMN
tMN<- sqrt(T)*(MN-1)
print("no. of observations")
print(n)
print("T")
print(T)
print("CVM stat MN")
print(MN)
print("tMN")
print(tMN)
pval<- pnorm(tMN,mean=0,sd=2,lower.tail=FALSE)
# 2 tail test against N(0,4)
# H0 the data are white noise
test<- pval*2
if (test > 1) test<- 2-test
print("test value")
print(test)
}
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