Dear Everyone,
The document of `tsdiag’ says
> 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.
This implies that we should pass the `fitdf' parameter when applying `Box.test'
to residuals. When checking the source code for `getS3method("tsdiag",
"Arima”)’, however, I noticed that it didn’t pass this parameter. The relevant
line is `for (i in 1L:nlag) pval[i] <- Box.test(rs, i, type =
"Ljung-Box")$p.value’. I suppose this could be fixed by passing an additional
`fitdf = sum(object$arma[1:4])’.
See also this thread on Cross Validated:
https://stats.stackexchange.com/questions/411432/significance-of-the-parameter-fitdf-in-box-test
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