Check that residuals from a time series model look like white noise

If plot = TRUE, produces a time plot of the residuals, the corresponding ACF, and a histogram. If test is not FALSE, the output from either a Ljung-Box test or Breusch-Godfrey test is printed.

Usage

checkresiduals(object, lag, test, plot = TRUE, ...)

Arguments

object: Either a time series model, a forecast object, or a time series (assumed to be residuals).
lag: Number of lags to use in the Ljung-Box or Breusch-Godfrey test. If missing, it is set to min(10, n/5) for non-seasonal data, and min(2m, n/5) for seasonal data, where n is the length of the series, and m is the seasonal period of the data. It is further constrained to be at least df+3 where df is the degrees of freedom of the model. This ensures there are at least 3 degrees of freedom used in the chi-squared test.
test: Test to use for serial correlation. By default, if object is of class lm, then test = "BG". Otherwise, test = "LB". Setting test = FALSE will prevent the test results being printed.
plot: Logical. If TRUE, will produce the plot.
...: Other arguments are passed to ggtsdisplay().

Value

None

Author

Rob J Hyndman

Examples


fit <- ets(WWWusage)
checkresiduals(fit)

#> 
#> 	Ljung-Box test
#> 
#> data:  Residuals from ETS(A,Ad,N)
#> Q* = 28.995, df = 10, p-value = 0.001249
#> 
#> Model df: 0.   Total lags used: 10
#>