Dear list members,
I have 982 quotations of a given stock index and I want to run a Ljung-Box
test on these data to test for autocorrelation. Later on I will estimate 8
coefficients.
I do not know how many degrees of freedom should I assume in the formula for
Ljung-Box test. Could anyone tell me please?
Below the formula:
Box.test(x, lag = ????, type = c("Ljung-Box"), fitdf = 0)
Thank you very much in advance.
Best regards
Marcin
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