> I'm using the Box-Ljung test (from within R) to test if a
> time-series in independently distributed.
I have window$r.nifty, which is a time-series of returns on the Nifty
market index.
# Box-Ljung test on Nifty --
test = Box.test(window$r.nifty, lag=10, type="Ljung");
cat("Box Ljung prob value: ", test$p.value, "\n")
# Runs test on Nifty
test = runs.test(factor(sign(window$r.nifty)));
cat("Runs test prob value: ", test$p.value, "\n")
--
Ajay Shah Consultant
[EMAIL PROTECTED] Department of Economic Affairs
http://www.mayin.org/ajayshah Ministry of Finance, New Delhi
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