iid.test: Testing iid property

In testcorr: Testing Zero Correlation

Description

The function iid.test computes the test statistics for examining the null hypothesis of i.i.d. property for univariate series given in Dalla, Giraitis and Phillips (2020).

Usage

iid.test(x, max.lag, alpha = 0.05, plot = TRUE, table = TRUE,
         var.name = NULL, scale.font = 1)

Arguments

x	A numeric vector or a univariate numeric time series object or a data frame.
max.lag	Maximum lag at which to calculate the test statistics.
alpha	Significance level for hypothesis testing used in the plots. Default is 0.05.
plot	Logical. If TRUE the test statistics and their critical values are plotted. Default is TRUE.
table	Logical. If TRUE the test statistics and their p-values are printed out. Default is TRUE.
var.name	NULL or a character string specifying the variable name. If NULL and x has name, the name of x is used. If NULL and x has no name, the string "x" is used. Default is NULL.
scale.font	A positive number indicating the scaling of the font size in the plots. Default is 1.

Details

The J[x,|x|] and J[x,x^2] statistics are for testing the null hypothesis of i.i.d. at lag k, k=1,...,max.lag, and the C[x,|x|] and C[x,x^2] statistics are for testing the null hypothesis of i.i.d. at lags 1,...,m, m=1,...,max.lag.

Value

An object of class "iid.test", which is a list with the following components:

lag	The lags used.
jab	The J[x,|x|] test statistics.
pvjab	The p-values for the J[x,|x|] test statistics.
jsq	The J[x,x^2] test statistics.
pvjsq	The p-values for the J[x,x^2] test statistics.
cab	The C[x,|x|] test statistics.
pvcab	The p-values for the C[x,|x|] test statistics.
csq	The C[x,x^2] test statistics.
pvcsq	The p-values for the C[x,x^2] test statistics.

Note

Missing values are not allowed.

Author(s)

Violetta Dalla, Liudas Giraitis and Peter C. B. Phillips

References

Dalla, V., Giraitis, L. and Phillips, P. C. B. (2020). "Robust Tests for White Noise and Cross-Correlation". Cowles Foundation, Discussion Paper No. 2194, https://cowles.yale.edu/sites/default/files/files/pub/d21/d2194-r.pdf.

Examples

x <- rnorm(100)
iid.test(x, max.lag = 10)

Example output

Tests for i.i.d. property of x

| Lag| J[x,ǀxǀ]| p-value| J[x,x²]| p-value| Lag| C[x,ǀxǀ]| p-value| C[x,x²]| p-value|
|---:|--------:|-------:|-------:|-------:|---:|--------:|-------:|-------:|-------:|
|   1|    5.082|   0.079|   5.897|   0.052|   1|    5.082|   0.079|   5.897|   0.052|
|   2|    0.833|   0.659|   0.817|   0.665|   2|    5.916|   0.206|   6.714|   0.152|
|   3|    1.715|   0.424|   1.735|   0.420|   3|    7.631|   0.266|   8.450|   0.207|
|   4|    3.081|   0.214|   3.128|   0.209|   4|   10.712|   0.219|  11.578|   0.171|
|   5|    0.227|   0.893|   0.567|   0.753|   5|   10.939|   0.362|  12.145|   0.276|
|   6|    1.396|   0.498|   1.624|   0.444|   6|   12.335|   0.419|  13.768|   0.316|
|   7|    2.536|   0.281|   2.340|   0.310|   7|   14.872|   0.387|  16.109|   0.307|
|   8|    1.512|   0.469|   2.676|   0.262|   8|   16.384|   0.426|  18.785|   0.280|
|   9|    1.053|   0.591|   0.812|   0.666|   9|   17.437|   0.493|  19.597|   0.356|
|  10|    4.811|   0.090|   2.491|   0.288|  10|   22.248|   0.327|  22.088|   0.336|

testcorr documentation built on April 5, 2021, 5:06 p.m.