dynardl.auto.correlated {dynamac}

Run a variety of autocorrelation tests on the residuals from a dynardl model

Description

Run a variety of autocorrelation tests on the residuals from a dynardl model

Usage

dynardl.auto.correlated(
  x,
  bg.type = "Chisq",
  digits = 3,
  order = NULL,
  object.out = FALSE
)

Arguments

x

a dynardl model

bg.type

a character string for the type of Breusch-Godfrey test to run. The default is Chisq: the Chisq test statistic. The other option is F: the F-test statistic

digits

the number of digits to round to when showing output. The default is 3

order

the maximum order of serial autocorrelation to test when executing the Breusch-Godfrey test

object.out

if TRUE, and dynardl.auto.correlated is assigned to an object, the AIC, BIC, and results will be stored for the user's convenience

Details

This is a simple and convenient way to test whether the residuals from the dynardl model are white noise. As an aside, this is also why dynardl has a simulate = FALSE argument: users can ensure the model has white noise residuals before estimating a potentially time-intensive simulation. The output also reminds the user of the null hypotheses for the autocorrelation tests

Value

The results of autocorrelation tests

Author(s)

Soren Jordan and Andrew Q. Philips

Examples

# Using the ineq data from dynamac
ardl.model <- dynardl(concern ~ incshare10 + urate, data = ineq, 
       lags = list("concern" = 1, "incshare10" = 1),
       diffs = c("incshare10", "urate"), 
       lagdiffs = list("concern" = 1),
       ec = TRUE, simulate = FALSE)
dynardl.auto.correlated(ardl.model)