ljung.box.test {ccgarch}R Documentation

The Ljung-Box Test statistic

Description

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

Usage

    ljung.box.test(x)

Arguments

x a vector of variables

Value

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

Note

This function is not valid for multiple series.

References

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

See Also

rob.sk, rob.kr, jb.test

Examples

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

[Package ccgarch version 0.1.1 Index]