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

I have the following output from the ugarchfit function of the “rugarch” package: ...
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### 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): ...
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### 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 ...
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### 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 ...
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 ...