Performs an Univariate Test for White Noise. The null is white noise rather than "strict" white noise, thus permitting
weak dependence in the higher moments of the variable.
Usage
whitenoise.test(x)
Arguments
x
the input is a vector of length n (observations) or a n by 1 matrix
Value
htest containing the following components:
n
no. of observations
T
length of periodogram used
MN
von Mises statistic
tMN
test statistic
test value
p-value for the test
Details
A von Mises-type statistic is computed to be valued against a N(0,4) distribution. Finite sample test statistics
are thus easily generated.
References
Lobato, I., and C. Velasco (2004). "A Simple and General Test for White Noise", Econometric Society, Latin-America Meetings, Paper No. 112.