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Richard Hardy
Richard Hardy
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On the Box Ljung test - simple questionBox test for ARMA residuals: is my ARMA model fine?

I am not very familiar with these validation tests and am looking to just use them in a larger model. I have an ARMA(P$p$,Q$q$) model and. $P=Q=2$$p=q=2$ gave me the lowest BIC value, and hence I stuck to it. Now, 

I know people do something with the Ljung-Box Q$Q$-test test for autocorrelations. I did this on Matlab with lags of 5,10, 15 and hence degrees of freedom of 1,6,11. More explanation of this Matlab function is here: [http://www.mathworks.com/help/econ/lbqtesthere.html#bt080ir-1]

I get $h= [0 0 0]$$h=(0,0,0)$ and $p=[0.1511, 0.8545, 0.3046]$$p=(0.1511,0.8545,0.3046)$. Please give me a reason for :

i) if this means my ARMA model is good enough, why so? ii) if this means my ARMA model is not good enough, then why so and what should I do instead?

  1. Does this mean my ARMA model is good enough? Why so?
  2. Does this mean my ARMA model is not good enough? Why so and what should I do?

On the Box Ljung test - simple question

I am not very familiar with these validation tests and am looking to just use them in a larger model. I have an ARMA(P,Q) model and $P=Q=2$ gave me the lowest BIC value and hence I stuck to it. Now, I know people do something with the Ljung-Box Q-test test for autocorrelations. I did this on Matlab with lags of 5,10, 15 and hence degrees of freedom of 1,6,11. More explanation of this Matlab function is here: [http://www.mathworks.com/help/econ/lbqtest.html#bt080ir-1]

I get $h= [0 0 0]$ and $p=[0.1511, 0.8545, 0.3046]$. Please give me a reason for :

i) if this means my ARMA model is good enough, why so? ii) if this means my ARMA model is not good enough, then why so and what should I do instead?

Ljung-Box test for ARMA residuals: is my ARMA model fine?

I have an ARMA($p$,$q$) model. $p=q=2$ gave me the lowest BIC value, and hence I stuck to it. 

I know people do something with the Ljung-Box $Q$-test test for autocorrelations. I did this on Matlab with lags of 5,10, 15 and hence degrees of freedom of 1,6,11. More explanation of this Matlab function is here.

I get $h=(0,0,0)$ and $p=(0.1511,0.8545,0.3046)$.

  1. Does this mean my ARMA model is good enough? Why so?
  2. Does this mean my ARMA model is not good enough? Why so and what should I do?
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bissi
bissi
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On the Box Ljung test - simple question

I am not very familiar with these validation tests and am looking to just use them in a larger model. I have an ARMA(P,Q) model and $P=Q=2$ gave me the lowest BIC value and hence I stuck to it. Now, I know people do something with the Ljung-Box Q-test test for autocorrelations. I did this on Matlab with lags of 5,10, 15 and hence degrees of freedom of 1,6,11. More explanation of this Matlab function is here: [http://www.mathworks.com/help/econ/lbqtest.html#bt080ir-1]

I get $h= [0 0 0]$ and $p=[0.1511, 0.8545, 0.3046]$. Please give me a reason for :

i) if this means my ARMA model is good enough, why so? ii) if this means my ARMA model is not good enough, then why so and what should I do instead?