Autocorrelation tests
ac_test(x, lag_max = 5)
| x | the residuals or an |
|---|---|
| lag_max | the maximum length of lags. |
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***