# Linked Questions

9answers
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### How many lags to use in the Ljung-Box test of a time series?

After an ARMA model is fit to a time series, it is common to check the residuals via the Ljung-Box portmanteau test (among other tests). The Ljung-Box test returns a p value. It has a parameter, h, ...
1answer
6k views

### What does a p-value of 0 imply in a Ljung Box statistic?

What does a p-value of 0 in the Ljung-Box statistic imply? When I use the multivariate time series and fit a VARMA model, the Ljung-Box statistic (applied to residuals) gives values larger than 0....
1answer
5k views

### Difference between Ljung Box and McLeod Li Test?

I'm a little confused. What is the difference between the Ljung-Box test and the McLeod-Li test? The Ljung-Box test is a test for linearity in the mean and the McLeod-Li is a test for nonlinearity on ...
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2k views

### Testing for serial correlation in ARMA-GARCH residuals

I have the following output from the ugarchfit function of the “rugarch” package: ...
1answer
2k views

### 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 ...
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### What number of lags for multivariate Portmanteau, Breusch-Godfrey, and Ljung-Box tests?

There are 3 types of tests for the residual autocorrelations here (I have a relatively small sample(58 obs): ...
0answers
496 views

### Mimicking seasonaldummy with fourier in Arima model

I'm trying to forecast data that has an hourly and weekly pattern. The model I made using predictors created using seasonaldummy does a nice job of picking up the hourly weekly pattern, but it takes ...
1answer
353 views

### How to choose the order for ARMA(p,q) to avoid residual autocorrelation?

I tried to process the daily return data for Shanghai Stock Index in RStudio. I use ARMA to model my data.Below is the ACF and PACF figure from R. How should I choose the order for my data according ...
1answer
306 views

### Alternative tests for determining whiteness of a residual time series that does not result from an ARIMA process?

I’m doing some work that involves time series analysis of climate data, and I’m trying to figure out the best way to test for whiteness in a residual time series. In the course of this work I’m ...
1answer
243 views

### Ljung Box test for residuals of constrained ARIMAX(2,1,0) model

I have this ARIMA(2,1,0) model with one exogenous variable: $$\Delta y_t=c+\phi_2 \Delta y_{t-2}+\beta_x x_t+\varepsilon_t$$ I want to run Ljung Box test of residual autocorrelation with test ...

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