Ok I made Jarque-Bera test to the residuals (merv.reg$residual) library(tseries) jarque.bera.test(merv.reg$residual) X-squared = 1772.369, df = 2, p-value = < 2.2e-16 And I reject the null hypotesis (H0: merv.reg$residual are normally distributed)
So I know that: 1 - merv.reg$residual aren't independently distributed (Box-Ljung test) 2 - merv.reg$residual aren't indentically distributed (Breusch-Pagan test) 3 - merv.reg$residual aren't normally distributed (Jarque-Bera test) My questions is: It is possible merv.reg$residual be uncorrelated ? cov[residual_t, residual_(t+k)] = 0 ? Even when residuals are not independent distributed ! (and we know that they aren't normally distributed and they aren't indentically distributed ) And how can I tested it ? Thanks. > Hint, if a ts is normally distributed then independence and uncorrelatedness > are equivalent, hence you can test for normally distributed errors (e.g. > Jarque-Bera-Test). > > HTH, > Bernhard > > > ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
