Linked Questions
37 questions linked to/from Testing for autocorrelation: Ljung-Box versus Breusch-Godfrey
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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)-...
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Inconsistent Ljung-Box test result and plot of autocorrelation function of residuals
I get an inconsistent result for the Ljung-Box test: in fact when I run it using the Box.test function it doesn't make me reject the null hypothesis of residuals being white noise, but when I plot the ...
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Test for bias in the residuals of regressions
Most of the answers I found say "look at the residual plots". Which is great!
But I have a large set of curves, and would like to "distinguish" time series curves that fit a model ...
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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 ...
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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 ...
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Detecting autocorrelation of residuals using ACF and PACF plots
How to identify autocorrelation of residuals in the fitted VAR model. I have provided the ACF and PACF plots below. There are some significant lags in the PACF plot. Does it mean that my model has ...
- 139
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How to implement Breusch-Godfrey test for a regression with ARIMA errors in R
This question is a duplicate from Stack Overflow but in the previous (now deleted version) there was a suggestion to ask it here because it concerns methods.
I’m fitting a regression with ARIMA errors ...
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Fitting ARMA model to financial log returns
I have read that the presence of autocorrelation detected in the log return can be removed by fitting the simplest plausible ARMA (p, q) model to the data. This autocorrelation was detected using a ...
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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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Breusch-Godfrey test on residuals from an MA(q) model
Consider testing for presence of autocorrelation of lag order up to $h$ in the residuals from a regression model
$$
y_t = \mathbf x_t^\top \beta + u_t
$$
where $\mathbf x_t$ may or may not include ...
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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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Autocorrelation in the squared residuals of Multivariate GARCH models
Most papers use the Hosking (1980) to detect whether the multivariate GARCH model used captures all heteroskedasticity effects. However, Bauwens (2006)(p.101-102) do state shortcomings of it, when ...
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Choosing the right lag order for the LjungBox() test in VAR()
I have several VAR Models with mostly AIC as lag criterion. For the Ljung-Box test I read about the rule of thumb of choosing h=min(10,T/5) with T=number ...
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Autocorrelation in residuals of mean model to be used in a GARCH model
My question is related to the autocorrelation present in the mean-model (which is an ARMA process), which will be used in a GARCH model. Is it ok to have autocorrelations in the residuals of the mean-...
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Testing whether $h$-step-ahead forecast errors are at most MA($h-1$)?
I am forecasting a weekly commodity price series. I use a rolling window for estimating my model, and from each window I make point forecasts for one, two and more steps ahead.
I want to investigate ...
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