In this video, we demonstrate how to conduct a White Noise Test in Microsoft Excel with the help of a newly released version of NumXL - 1.58 BAJA.
NumXL is an add-in for Excel that greatly simplifies different calculations used in time series analysis.
Hello and welcome to the NumXL white noise test tutorial. In this video we'll demonstrate how to run a white noise test with the help of a simple user interface available with a version 1.58 of NumXL. We'll be using the daily log returns of the S&P 500.
The first step is to select an empty cell in your worksheet, then click on the statistical testing button in the NumXL toolbar. Select the white noise test option.
The function wizard pops, up for input data select your sample values, the output defaults to your selected cell in the worksheet. You may also choose a different significance level for the test. The default is 5%. Once your data has been selected, you can click on the options and the missing values tabs.
Here you can pick the lag order range to test for. For our purposes we'll change the maximum lack order to 4.
In the missing values tab you can pick what to do with the intermediate missing values if they are present in the data. You may now click OK.
The white noise tests results are now in your worksheet.
That is it for now, thank you for watching!