> > Hi, > > I'm dealing with time series. I usually use stl() to > estimate trend, stagionality and residuals. I test for > normality of residuals using shapiro.test(), but I > can't test for autocorrelation and heteroskedasticity. > Is there a way to perform Durbin-Watson test and > Breusch-Pagan test (or other simalar tests) for time > series? > I find dwtest() and bptest() in the package lmtest,
Hello Vito, how about: library(lmtest) data(nottem) test <- summary(stl(nottem, s.win=4)) bptest(formula(nottem ~ -1 + test$time.series[,1] + test$time.series[,2])) dwtest(formula(nottem ~ -1 + test$time.series[,1] + test$time.series[,2])) i.e. you define the residuals by providing the residuals as formula. Note: testres <- nottem-test$time.series[,1]-test$time.series[,2] cbind(testres, test$time.series[,3]) Anyway, are these tests applicable to stl as far as the underlying assumptions for the error term is concerned? Bernhard > but it requieres an lm object, while I've a ts object. > Any help will be appreciated. > Best > Vito > > ===== > Diventare costruttori di soluzioni > > Visitate il portale http://www.modugno.it/ > e in particolare la sezione su Palese http://www.modugno.it/archivio/cat_palese.shtml ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html -------------------------------------------------------------------------------- The information contained herein is confidential and is inte...{{dropped}} ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html