Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: times
See also: acf pacf pacfplot fft invfft boxpi

Quantlet: boxlj
Description: computes the autocorrelation function (acf) and the Box-Ljung statistics for autocorrelation in a time series. Additionally, the p-values for the statistic are computed.

Usage: qlb = boxlj(x {, maxlag})
x T x 1 vector, time series
maxlag (optional) integer, maximum lag for which the above described values are calculated, default is maxlag = 30
qlb maxlag x 3 matrix, contains autocorrelation function in the first column, the Ljung-Box statistics in the second and the p-values for the statistic in the third column (see the notes).


library("times")         ; loads the quantlets from times library
dax    = read("dax.dat") ; monthly DAX 1979:1-2000:10
return = tdiff(log(dax)) ; generates the monthly return
qlb    = boxlj(return,6) ; calculates the acf, lb-stat and p-values

Generates a matrix with the autocorrelation
function, the Ljung-Box statistics and the
corresponding p-values for the returns of the
German stock index DAX

Contents of qlb
[1,]  0.036135  0.34474  0.55709
[2,]  0.033234  0.63746  0.72706
[3,] -0.030004  0.87697  0.83098
[4,]  0.013575  0.92619  0.92077
[5,] -0.069839    2.234   0.8159
[6,]  -0.0488   2.8751  0.82434

Author: G. Moral, M. Fengler, 20030402 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006