In 3 decades I suspect that the definition of "large" has changed. Now with faster computers and R we don't need to rely on the guesses of Ljung and Box. All it will take is someone (not me) to do some experiments.
Pat Nestor Arguea wrote: >It's Ljung and Box (1978) saying that for large number of observations a chi >squared with lags-p-q, should provide a good approximation "for most >practical purposes" (p. 298 of reference above). > >Nestor >On Wednesday 08 March 2006 4:00 am, Patrick Burns wrote: > > >>You are saying that the penalty on the degrees of freedom >>should be the same whether the model was fit with 100 >>observations or 1 million observations. You are also saying >>that some tests should have negative degrees of freedom. >>So I don't think your proposal is the right answer, though >>presumably there should be some penalty. >> >>There is a working paper on the Burns Statistics website >>about robustness in Ljung-Box tests, but this issue is not one >>that is covered. >> >> >>Patrick Burns >>[EMAIL PROTECTED] >>+44 (0)20 8525 0696 >>http://www.burns-stat.com >>(home of S Poetry and "A Guide for the Unwilling S User") >> >>Nestor Arguea wrote: >> >> >>>After an RSiteSeach("Box.test") I found some discussion regarding the >>>degrees of freedom in the computation of the Ljung-Box test using >>>Box.test(), but did not find any posting about the proper degrees of >>>freedom. >>> >>>Box.test() uses "lag=number" as the degrees of freedom. However, I >>>believe the correct degrees of freedom should be "number-p-q" where p and >>>q are the number of estimated parameters (for instance, in a Box-Jenkins >>>family of models). This, according to the main source in documentation of >>>Box.test: >>> >>>G. M. Ljung and G. E. P. Box, On a measure of Lack of Fit in Time Series >>>Models, Biometrika, Vol. 65, No. 2 (August, 1978), pp. 297-303. >>> >>>One can still compute the correct p-value with >>> >>> >>> >>>>1-pchisq(value,correctdf) >>>> >>>> >>>Nestor >>>(R 2.2.1 on Linux, Suse 9.3) >>> >>> >>______________________________________________ >>R-help@stat.math.ethz.ch mailing list >>https://stat.ethz.ch/mailman/listinfo/r-help >>PLEASE do read the posting guide! >>http://www.R-project.org/posting-guide.html >> >> > > > ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html