Array xlstat series#

LJUNG(R1, type, lag) = Ljung-Box statistic Q for range R1 PIERCE(R1, type, lag) = Box-Pierce statistic Q for range R1īPTEST(R1, type, lag) = p-value for the Box-Pierce test for range R1

Array xlstat series#

PTTEST(R1, R2) = p-value for the Pesaran-Timmermann test Autocorrelation and Partial Autocorrelation FunctionsĪCF(R1, k) = the ACF value at lag k for the time series in range R1ĪCVF(R1, k) = the autcovariance at lag k for the time series in range R1īARTEST( r, n, lag) = p-value of Bartlett’s test for correlation coefficient r based on a time series of size nīARTEST(R1, type, lag) = BARTEST( r, n, lag) where n = the number of elements in range R1 and r = ACF(R1, lag) PESARAN(R1, R2) = the test statistic for the Pesaran-Timmermann test LossDiff(R1, R2, R3, type) = a column array containing the loss-differential time series for the Diebold-Mariano test with type as for the DIEBOLD function. HLNTEST(R1, R2, R3, h, type) = p-value for the HLN test where h and type are as for the DIEBOLD function.

HLN(R1, R2, R3, h, type) = the test statistic for the HLN test where h is the number of lags (default 0, which is equivalent to h = the cube-root of the number of elements in R1) and type = 0 (default) for e 2 error measurement and type = 1 for the | e| error measurement. Forecast Accuracy FunctionsįorecastError(R1, R2, type) = the error statistic of the specified type type takes one of the following string values: me, mse, rmse, mae, mpe, mape, smape, u1, u2įorecast_Error(R1, R2, lab) = a column array containing the error statistics: me, mse, rmse, mae, mpe, mape, smape, u1, u2 if lab = TRUE then an extra column of labels is appended to the output (default FALSE).ĭIEBOLD(R1, R2, R3, h, type) = the test statistic for the Diebold-Mariano test where h is the number of lags (default 0, which is equivalent to h = the cube-root of the number of elements in R1) and type = 0 (default) for e 2 error measurement and type = 1 for the | e| error measurement.ĭMTEST(R1, R2, R3, h, type) = p-value for the Diebold-Mariano test where h and type are as for the DIEBOLD function.

For many of the following functions, R1 contains a column range containing a time series.Īlso included are panel data functions.

The following is a summary of all the time series analysis functions provided in the Real Statistics Resource Pack.