ac_test_: Tests for autocorrelation

In kvasilopoulos/ivx: Robust Econometric Inference

Description

• ac_test: For all tests

• ac_test_wald: Wald test

• ac_test_lb: Ljung-Box

• ac_test_bp: Box-Pierce

• ac_test_bg: Breusch-Godfrey

Usage

ac_test_wald(x, lag)

ac_test_lb(x, lag)

ac_test_bp(x, lag)

ac_test_bg(x, order, type, fill)

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

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

ac_test(mdl)

kvasilopoulos/ivx documentation built on May 11, 2021, 9:33 p.m.