|Ljung-Box Q-test for residual autocorrelation|
|Sample partial autocorrelation|
|Engle test for residual heteroscedasticity|
|Convert regression model with ARIMA errors to ARIMAX model|
Test for autocorrelation in the squared residuals, or conduct Engle’s ARCH test.
Estimate the ACF and PACF, or conduct the Ljung-Box Q-test.
This example shows how to estimate multiple linear regression models of time series data in the presence of heteroscedastic or autocorrelated (nonspherical) innovations.
Plot corrected confidence bands using Newey-West robust standard errors.
Change the bandwidth when estimating a HAC coefficient covariance, and compare estimates over varying bandwidths and kernels.
Convert between ARMAX and regression models with ARMA errors.
Create a composite conditional mean and variance model.