Perform McLeod-Li test

Source: man/performMcLeodLiTest.Rd · Help: ?performMcLeodLiTest

Applies the Ljung-Box test to squared residuals.

Usage

performMcLeodLiTest(model, data = NULL, lags = 10)

Arguments

model

an object of class lm.

data

optional data frame the model was fitted to. When NULL, the default, the model frame of model is used. The statistic is computed from the residuals of model, so data does not change the result; it is accepted so that every test takes (model, data, ...). Before 0.15.0 the second argument was lags: a number passed there by position is still read as lags, with a warning that shows the new call; that form stops working in 1.0.0.

lags

number of lags for the Ljung-Box test.

Value

An object of class htest containing the test statistic, p-value and degrees of freedom.

Details

Serial correlation in \(e_t^2\) indicates conditional heteroscedasticity. The Ljung-Box statistic is compared to a chi-square distribution with the chosen number of lags.

References

McLeod, A. I., & Li, W. K. (1983). Diagnostic checking ARMA time series models using squared-residual autocorrelations. Journal of Time Series Analysis, 4(4), 269–273.

Examples

 data(mtcars)
 m <- lm(mpg ~ wt + qsec, data = mtcars)
 performMcLeodLiTest(m, lags = 10)