whitenoise.test {normwn.test}R Documentation

Univariate Test for White Noise

Description

Performs an univariate test for white noise. The null is "white noise" rather than "strict white noise" which permits weak dependence in the higher moments of a variable

Usage

whitenoise.test(x)

Arguments

x the input is a vector of length n (observations) or an n by 1 matrix

Details

A von Mises-type statistic is computed to be valued against a N(0,4) distribution. Finite sample test statistics are thus easily generated.

Value

A list with class htest containing the following components:

n no. of observations
T length of periodogram used
MN von Mises statistic
tMN test statistic
test value p-value for the test

Author(s)

Peter Wickham

References

I. Lobato and C. Velasco (2004). "A Simple and General Test for White Noise". Econometric Society, Latin-American Meetings, paper No. 112


[Package normwn.test version 1.2 Index]