portmanteau.test {BEKKs}

Performing a Portmanteau test checking for remaining correlation in the empirical co-variances of the estimated BEKK residuals.

Description

Method for a Portmanteau test of the null hypothesis of no remaining correlation in the co-variances of the estimated BEKK residuals.

Usage

portmanteau.test(x, lags = 5)

Arguments

x

An object of class "bekkFit" from function bekk_fit.

lags

An integer defining the lag length.

Details

Here, the multivariate Portmanteau test of Hosking (1980) is implemented.

Value

Returns an Object of class "htest" containing the p-value and test statistic.

References

J. R. M. Hosking (1980). The Multivariate Portmanteau Statistic, Journal of the American Statistical Association, 75:371, 602-608.