| check_residuals {seastests} | R Documentation |
Check model used in OCSB test
Description
Test the residuals of the model used for the OCSB test for serial correlation.
Usage
check_residuals(x, plot = F)
Arguments
x |
results of ocsb test |
plot |
boolean, should barplot be printed? |
Details
The residuals of the model used for the OCSB test should ideally be white noise. Here the Ljung-Box statistic is calculated and shown for all lags up to 2 times the frequency of the series. Be aware that the Ljung-Box statistic is a 'cumulative test'. For instance, the p-value of the Ljung-Box statistic for lag 3 is based on the null hypothesis, that the autocorrelations of the first three lags are jointly zero.
Author(s)
Daniel Ollech
References
Box, G. and G. Jenkins (1970). Time Series Analysis: Forecasting and Control. San Francisco: Holden-Day.
Osborn D.R., Chui A.P.L., Smith J., and Birchenhall C.R. (1988). Seasonality and the order of integration for consumption, Oxford Bulletin of Economics and Statistics 50(4):361-377.
Examples
teststat <- ocsb(ts(rnorm(100, 10,10), frequency=12), nrun=100)
check_residuals(teststat)