White-noise Test

White-noise Test tutorial video

To examine a given time series for signs of serial correlation, we conduct a statistical test for white noise (Ljung-Box Test):

$$H_{o}: \rho_{1}=\rho_{2}=...=\rho_{m}=0 $$

$$H_{1}: \exists \rho_{k}\neq 0$$

Where $\rho_i$ is the autocorrelation function for the i-th lag. The selection of $m$ (max. lags) is rather arbitrary, but experience shows that we achieve the best results with $m=\left \lceil \ln(N) \right \rceil$ as the input sample size.

NumXL provides an intuitive interface to help Excel users conduct a white noise test using several lag-orders. In this tutorial, we’ll demonstrate the steps to perform a thorough white noise test using NumXL functions and wizards in Excel.

  1. Select an empty cell to store the histogram table.
    select an empty cell in your excel worksheet where you wish the NumXL White noise test result to be generated
  2. Locate the Statistical Test (STAT TEST) icon in the toolbar (or menu in Excel 2003) and click on the down-arrow. When the drop-down menu appears, select “White Noise Test”.
    Normality Test icon in NumXL toolbar in Excel 2007/2010
  3. The white noise dialog box appears.
  4. Select the cells range for the input data.
    general tab of the NumXL White Noise test in Excel 2007/2010
  5. Click the “Options” Tab. Select the maximum lag order in the test (i.e. m).
    Option tab in the NumXL White Noise Test Wizard in Excel 2007/2010
  6. If your data include one or more intermediate observations with missing values, click the “Missing Values” tab.
    Missing values treatment tab in NumXL White Noise Test Wizard in Excel
  7. Click “OK”.
  8. The white noise wizard generates the white noise statistics for different lags scenarios.
    White Noise test results in Excel using NumXL Wizards and Functions
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