[R] Degrees of freedom using Box.test()

[Patrick Burns]

You are saying that the penalty on the degrees of freedom
should be the same whether the model was fit with 100
observations or 1 million observations.  You are also saying
that some tests should have negative degrees of freedom.
So I don't think your proposal is the right answer, though
presumably there should be some penalty.

There is a working paper on the Burns Statistics website
about robustness in Ljung-Box tests, but this issue is not one
that is covered.


Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")

Nestor Arguea wrote:

>After an RSiteSeach("Box.test") I found some discussion regarding the degrees 
>of freedom in the computation of the Ljung-Box test using Box.test(), but did 
>not find any posting about the proper degrees of freedom.  
>
>Box.test() uses "lag=number" as the degrees of freedom.  However, I believe  
>the correct degrees of freedom should be "number-p-q" where p and q are the 
>number of estimated parameters (for instance, in a Box-Jenkins family of 
>models). This, according to the main source in documentation of Box.test:
>
>G. M. Ljung and G. E. P. Box, On a measure of Lack of Fit in Time Series 
>Models, Biometrika, Vol. 65, No. 2 (August, 1978), pp. 297-303.
>
>One can still compute the correct p-value with
>
>  
>
>>1-pchisq(value,correctdf)
>>    
>>
>
>
>Nestor
>(R 2.2.1 on Linux, Suse 9.3)
>
>  
>