ljung_box_test: The Ljung-Box Test statistic
In hoanguc3m/ccgarch: Conditional Correlation GARCH models

Description Usage Arguments Value Note References See Also Examples

This function performs the Ljung-Box Test for a univariate time series.

1	ljung.box.test(x)

`x`	a vector of variables to be tested

LB test statistics and associated p-values for lags 5, 10,..., 50.

Argument x must be a vector. When x is squared residuals, the test is equivalent to the McLeord and Li (1983) test.

Ljung, G.M. and G.E.P. Box (1978): “On a Measure of Lack of Fit in Time-Series Models”, Biometrika, 65, 297–303.

McLeod, A.I., and W.K. Li (1983): “Diagnostic checking ARMA time series models using squared-residual autocorrelations”, Journal of Time Series Analysis, 4, 269–273.

rob.sk, rob.kr, jb.test

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x <- rnorm(1000)
ljung.box.test(x)           # returns the LB Test statistic
ljung.box.test(x^2)         # returns the McLeord-Li Test for no-ARCH effect