LjungBoxPierceTest function

LjungBoxPierceTest determines the test statistic and p values for several lags for a residual series

LjungBoxPierceTest(y, n.par = 0, maxlag = 48)

Arguments

• y: the series of residuals, a vector or a time series
• n.par: number of parameters which had been estimated
• maxlag: maximal lag up to which the test statistic is computed, default is maxlag = 48

Returns

BT matrix with columns: lags, degrees of freedom, test statistic, p-value

Examples

data(COFFEE)
out <- arima(COFFEE,order=c(1,0,0))
BT <- LjungBoxPierceTest(out$residuals,1,20)