It's Ljung and Box (1978) saying that for large number of observations a chi squared with lags-p-q, should provide a good approximation "for most practical purposes" (p. 298 of reference above).
Nestor On Wednesday 08 March 2006 4:00 am, Patrick Burns wrote: > You are saying that the penalty on the degrees of freedom > should be the same whether the model was fit with 100 > observations or 1 million observations. You are also saying > that some tests should have negative degrees of freedom. > So I don't think your proposal is the right answer, though > presumably there should be some penalty. > > There is a working paper on the Burns Statistics website > about robustness in Ljung-Box tests, but this issue is not one > that is covered. > > > Patrick Burns > [EMAIL PROTECTED] > +44 (0)20 8525 0696 > http://www.burns-stat.com > (home of S Poetry and "A Guide for the Unwilling S User") > > Nestor Arguea wrote: > >After an RSiteSeach("Box.test") I found some discussion regarding the > > degrees of freedom in the computation of the Ljung-Box test using > > Box.test(), but did not find any posting about the proper degrees of > > freedom. > > > >Box.test() uses "lag=number" as the degrees of freedom. However, I > > believe the correct degrees of freedom should be "number-p-q" where p and > > q are the number of estimated parameters (for instance, in a Box-Jenkins > > family of models). This, according to the main source in documentation of > > Box.test: > > > >G. M. Ljung and G. E. P. Box, On a measure of Lack of Fit in Time Series > >Models, Biometrika, Vol. 65, No. 2 (August, 1978), pp. 297-303. > > > >One can still compute the correct p-value with > > > >>1-pchisq(value,correctdf) > > > >Nestor > >(R 2.2.1 on Linux, Suse 9.3) > > ______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! > http://www.R-project.org/posting-guide.html -- Nestor M. Arguea, Chair Department of Marketing and Economics University of West Florida 11000 University Parkway Pensacola, FL 32514 Phone: (850)474-3071 Fax: (850)474-3069 ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
