ac_test_ {ivx}

Tests for autocorrelation

Description

• ac_test_wald: Wald test

• ac_test_lb: Ljung-Box

• ac_test_bp: Box-Pierce

• ac_test_bg: Breusch-Godfrey

Usage

ac_test_wald(x, lag)

ac_test_lb(x, lag)

ac_test_bp(x, lag)

ac_test_bg(x, order, type, fill)

Arguments

x

an ivx model or a ⁠numeric vector⁠, usually the residuals from an ols regression.

lag

the number of lags.

order

lag TODO

type

the type of test statistic to be returned. Either "Chisq" for the Chi-squared test statistic or "F" for the F test statistic.

fill

starting values for the lagged residuals in the auxiliary regression. By default 0 but can also be set to NA.

Details

#' If p-value < 0.051: You can reject the null hypothesis assuming a 5% chance of making a mistake. So you can assume that your values are showing dependence on each other.

Value

a numeric scalar or numeric vector.

See Also

Box.test lmtest::bgtest

Examples

mdl <- ivx(hpi ~ cpi + inv, data = ylpc)
ac_test_wald(mdl)