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Ljung-Box Q-test for residual autocorrelation

returns
a logical value (`h`

= lbqtest(`res`

)`h`

) with the rejection decision
from conducting a Ljung-Box Q-Test for
autocorrelation in the residual series `res`

.

uses additional options specified by one or more name-value pair arguments.`h`

= lbqtest(`res`

,`Name,Value`

)

If any name-value pair argument is a vector, then all name-value pair arguments specified must be vectors of equal length or length one.

`lbqtest(res,Name,Value)`

treats each element of a vector input as a separate test, and returns a vector of rejection decisions.If any name-value pair argument is a row vector, then

`lbqtest(res,Name,Value)`

returns a row vector.

If you obtain `res`

by fitting a model to data, then you should reduce the
degrees of freedom (the argument `DoF`

) by the number of estimated
coefficients, excluding constants. For example, if you obtain `res`

by
fitting an `ARMA`

(*p*,*q*) model, set
`DoF`

to
*L*−*p*−*q*, where
*L* is `Lags`

.

The

`Lags`

argument affects the power of the test.If

*L*is too small, then the test does not detect high-order autocorrelations.If

*L*is too large, then the test loses power when a significant correlation at one lag is washed out by insignificant correlations at other lags.Box, Jenkins, and Reinsel suggest setting

`min[20,T-1]`

as the default value for`lags`

[1].Tsay cites simulation evidence that setting

`lags`

to a value approximating log(*T*) provides better power performance [5].

`lbqtest`

does not directly test for serial dependencies other than autocorrelation. However, you can use it to identify conditional heteroscedasticity (ARCH effects) by testing squared residuals [4].Engle's test assesses the significance of ARCH effects directly. For details, see

`archtest`

.

[1] Box, G. E. P., G. M. Jenkins, and G. C.
Reinsel. *Time Series Analysis: Forecasting and Control.*
3rd ed. Englewood Cliffs, NJ: Prentice Hall, 1994.

[2] Brockwell, P. J. and R. A. Davis. *Introduction
to Time Series and Forecasting*. 2nd ed. New York, NY:
Springer, 2002.

[3] Gourieroux, C. *ARCH Models and
Financial Applications.* New York: Springer-Verlag, 1997.

[4] McLeod, A. I. and W. K. Li. "Diagnostic Checking ARMA Time Series Models Using Squared-Residual Autocorrelations." Journal of Time Series Analysis. Vol. 4, 1983, pp. 269–273.

[5] Tsay, R. S. *Analysis of Financial
Time Series.* 2nd Ed. Hoboken, NJ: John Wiley & Sons,
Inc., 2005.