Autocorrelation tests

ac_test(x, lag_max = 5)

Arguments

x: the residuals or an ivx object.
lag_max: the maximum length of lags.

Examples

obj <- ivx(hpi ~ cpi + def + int + log(res), data = ylpc)
lmtest::bgtest(hpi ~ cpi + def + int + log(res), data = ylpc)
#> 
#> 	Breusch-Godfrey test for serial correlation of order up to 1
#> 
#> data:  hpi ~ cpi + def + int + log(res)
#> LM test = 63.286, df = 1, p-value = 1.788e-15
#> 
ac_test(obj, 5)
#>  Lag     Wald LjungBox BoxPierce BreuschGodfrey
#>    1 27.68*** 61.86***   60.8***       61.87***
#>    2 48.65*** 91.56***  89.82***       62.89***
#>    3  47.7*** 145.2***  141.9***       84.85***
#>    4 126.9*** 206.8***  201.4***       90.76***
#>    5 125.4*** 236.4***  229.9***       90.81***