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

Description

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

Usage

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

Value

None

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.
df: Number of degrees of freedom for fitted model, required for the Ljung-Box or Breusch-Godfrey test. Ignored if the degrees of freedom can be extracted from object.
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.

Author

Rob J Hyndman

Examples

Run this code


fit <- ets(WWWusage)
checkresiduals(fit)