Ljung-Box Q-test for residual autocorrelation

returns
a logical value (`h`

= lbqtest(`res`

)`h`

) with the rejection decision
from conducting a Ljung-Box Q-Test for
autocorrelation in the residual series `res`

.

uses
additional options specified by one or more `h`

= lbqtest(`res`

,`Name,Value`

)`Name,Value`

pair
arguments.

If any

`Name,Value`

pair argument is a vector, then all`Name,Value`

pair arguments specified must be vectors of equal length or length one.`lbqtest(res,Name,Value)`

treats each element of a vector input as a separate test, and returns a vector of rejection decisions.If any

`Name,Value`

pair argument is a row vector, then`lbqtest(res,Name,Value)`

returns a row vector.

[1] Box, G. E. P., G. M. Jenkins, and G. C.
Reinsel. *Time Series Analysis: Forecasting and Control.*
3rd ed. Englewood Cliffs, NJ: Prentice Hall, 1994.

[2] Brockwell, P. J. and R. A. Davis. *Introduction
to Time Series and Forecasting*. 2nd ed. New York, NY:
Springer, 2002.

[3] Gourieroux, C. *ARCH Models and
Financial Applications.* New York: Springer-Verlag, 1997.

[4] McLeod, A. I. and W. K. Li. "Diagnostic Checking ARMA Time Series Models Using Squared-Residual Autocorrelations." Journal of Time Series Analysis. Vol. 4, 1983, pp. 269–273.

[5] Tsay, R. S. *Analysis of Financial
Time Series.* 2nd Ed. Hoboken, NJ: John Wiley & Sons,
Inc., 2005.

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