Description Usage Arguments Details Value References See Also Examples

This function performs the Ljung-Box test for autocorrelations, and returns test statistics and associated p-values.

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`obj` |
a matrix of variables to be tested. |

`x` |
an object of the class "lbtest". |

`digits` |
the number of digits to be displayed. |

`...` |
optional arguments. Currently not in use. |

`obj`

is usually a matrix of (the standardized) residuals
from a GARCH estimation. When `obj`

is squared residuals, the test is
equivalent to the McLeord and Li (1983) test. `lb.test()`

is a
wrapper function to `Box.test()`

with `type = "Ljung"`

.

An S3 class object "lbtest" is returned. It contains the test statistics and associated p-values from lags 5 to 50 by 5.

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.

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ccgarch2 documentation built on May 31, 2017, 4:23 a.m.

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