Linked Questions

19
votes
9answers
40k views

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, ...
0
votes
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....
2
votes
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 ...
0
votes
1answer
2k views

Testing for serial correlation in ARMA-GARCH residuals

I have the following output from the ugarchfit function of the “rugarch” package: ...
0
votes
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 ...
1
vote
1answer
1k views

Durbin-Watson: test exogeneity

I have a time series for which I have built a linear regression, say $Y(t)=\beta X(t)$. A regression implies that $Y$ is actually a function of $X$ (that is, $Y(X)$), but not the other way around ($X(...
1
vote
1answer
850 views

Autocorrelated residuals from `auto.arima`

I'm having issues with the residuals of my ARIMA models in R for two time series. When I run the Ljung-Box test on the residuals, I get that I should reject the null (i.e. my residuals still have some ...
1
vote
1answer
565 views

Goodness of forecast in R (Time Series)

I used two different methods to forecast a time series data. The first one used is HoltWinters with Beta and Gamma as FALSE, since I don't see any trend or seasonality in the plot. Below is the ...
0
votes
0answers
718 views

VAR model selection, auto-correlation specification issues

I am encountering the following problems and I don't really know which model a should pick. All model selection criteria indicate that I should take the model with 1 lag. After building the VAR(1)-...
1
vote
0answers
709 views

Ljung-Box statistic doesn't match to ACF of ARIMAX

I'm afraid I basically missunderstand something in the Ljung-Box-Pierce test. I estimate an ARMAX model with $y$ as seasonal response variable with periodicity in lag 144, and ARMA(3,1) process for ...
2
votes
1answer
665 views

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): ...
0
votes
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 ...
1
vote
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 ...
1
vote
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 ...
0
votes
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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