Description Usage Arguments Value Note References See Also Examples

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

1 |

`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.

1 2 3 | ```
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
``` |

hoanguc3m/ccgarch documentation built on May 29, 2019, 11:05 p.m.

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