whitenoise.test {normwn.test}R Documentation

Univariate Test for White Noise

Description

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

Usage

whitenoise.test(x)

Arguments

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

Details

A von Mises-type statistic is computed to be valued against a N(0,4) distibution. Finite sample test statistics are thus easily generated. These can be requested from the author based on 5,000 replications.

Value

A list with claas 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

Note

Author(s)

Peter Wickham

References

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

See Also

Examples






[Package normwn.test version 1.0 Index]