Spencer Graves has discussed this recently ( in the last couple of
months ) in a thread and I think his FinTS package has a variant of the
Box.test
function that does what you need.
On Fri, May 16, 2008 at 11:45 AM, Nuno Prista wrote:
Dear colleagues,
I am new to R and statistics so please keep that in mind.
I have doubts on the df calculation of Ljung-Box test (Box.test). The
function seems to use always the df=lag=m and not df=m-p-q like
suggested in
Ljung and Box (1978) paper (that is referenced).
Do you agree with this? If so, is there an R package function that
computes
Ljung-Box test with the degrees of freedom as described in Ljung and
Box
(1978) paper?
Note: this issue was discussed in
http://tolstoy.newcastle.edu.au/R/help/06/03/22768.html (and thread)
but it
seems with little consensus.
Thanks in advance,
Nuno
______________________________________________
Centro de Oceanografia - IO-FCUL, Portugal
Center for Quantitative Fisheries Ecology - ODU, USA
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