[R] Testing autocorrelation & heteroskedasticity of residuals in ts

From: Vito Ricci <vito_ricci_at_yahoo.com>
Date: Wed 21 Jul 2004 - 17:34:42 EST


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, but it requieres an lm object, while I've a ts object. Any help will be appreciated.

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