Bear in mind that Box.test knows nothing about p or q: it says
Compute the Box-Pierce or Ljung-Box test statistic for examining
the null hypothesis of independence in a given time series.
I think you are referring to its application to the residuals of an
ARMA(p, q) fit, and that is not what Box.test says it does.
It is very easy to edit the code if you want to use a different degrees of
freedom.
On Fri, 16 May 2008, 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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Brian D. Ripley, [EMAIL PROTECTED]
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