How to interpret this result from lbqtest?
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The time series 'residual' has 61 data points. Can I claim that no auto-correlations are detected?
[h,pValue] = lbqtest(residual,'Lags',[5,10,15,20])
h =
0 0 0 0
pValue =
0.6959 0.8321 0.2296 0.1376
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Shashank Prasanna
2013년 10월 7일
편집: Shashank Prasanna
2013년 10월 7일
Those p-values are quite large compared to default significance of 0.05 If the p-value was less than 0.05, h will be 1 and it is 'statistically significant' that there is some autocorrelation in the residuals. For p-value > 0.05 and h = 0, you cannot be that confident.
h = 0 means that you cannot confidently reject 'no autocorrelation' in the residuals.
h = 1 means you can confidently reject 'no autocorrelation'
You can change set your own significance using alpha
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