Hi Leigh, try entering the help(Box.test) command so that you can see the
correct syntax for your Ljung-Box test.  Geoff

Date: Sun, 11 Jul 2010 18:32:21 -0500
> From: "Leigh E. Lommen" <leigh.lommen@courtesycorporation.com>
> To: <r-sig-finance@stat.math.ethz.ch>
> Subject: [R-SIG-Finance] Testing serial correlation of logreturns
> Message-ID:
>        <
> D2B4F3C1AFAF674C95C57B48F7968CFAB8744F@Courtesy-fs2.COURTESYCORP.COM>
> Content-Type: text/plain;       charset="US-ASCII"
>
>
> If I am testing for serial correlation in log returns in R for lags from
> 1 to 10 is the following the correct syntax?
>   x<-1:10
>   Box.test(log_returns,lag = x, type = "Ljung") #assuming my
> log_returns are ln(S_t/S_t-1)
>
> Thanks in advance.
> L's
>
>
>
> ------------------------------
>
> _______________________________________________
> R-SIG-Finance mailing list
> R-SIG-Finance@stat.math.ethz.ch
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>
>
> End of R-SIG-Finance Digest, Vol 74, Issue 12
> *********************************************
>

-- 
Geoffrey Smith
Visiting Assistant Professor
Department of Finance
W. P. Carey School of Business
Arizona State University

	[[alternative HTML version deleted]]

