I think now everything should be fine and the problem should disappear. And now about my problem. 'x' is not a set of residuals from an ARMA fit. I just have 982 weekly quotations of a given stock index and I want to run a Ljung-Box test on these data to test for autocorrelation. So 'x' would be exactly this time series of 982 quotations. I need the results of the Ljung-Box test for the table of descriptive statistics in which I also have mean, st. deviation, skewness, kurtosis and Jarque-Bera. The only problem is that I do not know what should be the value of 'lag' in the formula Box.test. I found an article where authors have daily quotations and they apply Ljung-Box Q-test statistics with up to 10-day lags ( LB(10) ). They do it for 1213 observations as well as for 671 and 542 observations. I do not understand why did they choose 10-day lags..
I hope now everything is clear... Regards Marcin 2011/8/27 Prof Brian Ripley <rip...@stats.ox.ac.uk> > Please fix your email settings: your 'From:' field is not in the correct > encoding, so I had to manually copy the ASCII part. (The header as received > here said it was UTF-8, but it is not valid UTF-8. Most likely no encoding > was declared your end.) > > > On Sat, 27 Aug 2011, Marcin P????ciennik wrote: > > Dear list members, >> >> I have 982 quotations of a given stock index and I want to run a Ljung-Box >> test on these data to test for autocorrelation. Later on I will estimate 8 >> coefficients. >> I do not know how many degrees of freedom should I assume in the formula >> for >> Ljung-Box test. Could anyone tell me please? >> > > Nor does anyone else without knowing what 'x' is. But from the help page: > > fitdf: number of degrees of freedom to be subtracted if x is a > series of residuals. > > Details: > > These tests are sometimes applied to the residuals from an > ARMA(p, q) fit, in which case the references suggest a better > approximation to the null-hypothesis distribution is obtained by > setting fitdf = p+q, provided of course that lag > fitdf. > > So is 'x' a set of residuals from an ARMA fit? If so, the help page told > you how, and if it is a not a fit note the word 'if' in the description of > 'fitdf'. > > Below the formula: >> >> Box.test(x, lag = ????, type = c("Ljung-Box"), fitdf = 0) >> >> >> Thank you very much in advance. >> Best regards >> Marcin >> >> [[alternative HTML version deleted]] >> > > Please don't send HTML as you were explicitly asked in the posting guide. > Very likely that exacerbated the encoding confusion. > > PLEASE do read the posting guide http://www.R-project.org/** >> posting-guide.html <http://www.R-project.org/posting-guide.html> >> > > -- > Brian D. Ripley, rip...@stats.ox.ac.uk > Professor of Applied Statistics, > http://www.stats.ox.ac.uk/~**ripley/<http://www.stats.ox.ac.uk/%7Eripley/> > University of Oxford, Tel: +44 1865 272861 (self) > 1 South Parks Road, +44 1865 272866 (PA) > Oxford OX1 3TG, UK Fax: +44 1865 272595 [[alternative HTML version deleted]]
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