ljung.box.test {ccgarch} | R Documentation |
This function performs the Ljung-Box Test for a univariate time series.
ljung.box.test(x)
x |
a vector of variables |
LB test statistics and associated p-values for lags 5, 10,..., 50.
This function is not valid for multiple series.
Ljung, G.M. and G. E. P. Box (1978): “On a Measure of Lack of Fit in Time-Series Models”, Biometrika, 65, 297-303.
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