TB_AR_test function

Computes Tiao-Box Test for Autocorrelation.

This function computes Tiao-Box test for autocorrelation, i.e, coefficient of p-th lag in VAR(p) model. Its null hypothesis is that p-th lag is not essential. The alternative hypothesis is that it is essential.

TB_AR_test(d,p)

Arguments

• d: matrix of time-series, assumed to be the stationary VARMA type, columns correspond to time index, and rows to different time-series
• p: numeric indicating a lag length beyond which we are willing to assume that the autocorrelation is essentially zero

Returns

class htest object, list of - statistic: test statistic

• parameter: q, a lag length

• alternative: alternative hypothesis of the test

• p.value: p-value

• method: name of the test

• data.name: name of the tested time-series

Examples

data(MDMforecasts)
ts <- MDMforecasts$ts
forecasts <- MDMforecasts$forecasts
l <- loss(realized=ts,evaluated=forecasts,loss.type="SE")
d <- d_t(l)
TB_AR_test(d=d,p=10)

References

Tiao, G.C., Box, G.E.P. 1981. Modeling multiple times series with applications. Journal of the American Statistical Association 76 , 802--816.