Please fix your email settings: your 'From:' field is not in the
correct encoding, so I had to manually copy the ASCII part. (The
header as received here said it was UTF-8, but it is not valid UTF-8.
Most likely no encoding was declared your end.)
On Sat, 27 Aug 2011, Marcin P????ciennik wrote:
Dear list members,
I have 982 quotations of a given stock index and I want to run a Ljung-Box
test on these data to test for autocorrelation. Later on I will estimate 8
coefficients.
I do not know how many degrees of freedom should I assume in the formula for
Ljung-Box test. Could anyone tell me please?
Nor does anyone else without knowing what 'x' is. But from the help
page:
fitdf: number of degrees of freedom to be subtracted if ‘x’ is a
series of residuals.
Details:
These tests are sometimes applied to the residuals from an
‘ARMA(p, q)’ fit, in which case the references suggest a better
approximation to the null-hypothesis distribution is obtained by
setting ‘fitdf = p+q’, provided of course that ‘lag > fitdf’.
So is 'x' a set of residuals from an ARMA fit? If so, the help page
told you how, and if it is a not a fit note the word 'if' in the
description of 'fitdf'.
Below the formula:
Box.test(x, lag = ????, type = c("Ljung-Box"), fitdf = 0)
Thank you very much in advance.
Best regards
Marcin
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--
Brian D. Ripley, rip...@stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
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