Apply a test by groups

Question

I have a data sample on five-minute asset price returns (FiveMinRet) and select events for a period covering several years. These events are hypothesized to have an effect on the FiveMinRet (/causing non-zero abnormal returns). From the time series data sample, I construct a sub-sample containing for all events only the, say, 100 minutes (windows) around each event, (sub_sample). As a part of a preliminary data analysis, I wish to formally test for the presence of heteroskedasticity and first-order autocorrelation within each window. Each window occurs on different dates, so a variable (Date) will be my grouping variable.

So my question in this regard is: Is there a way to apply a Ljung-Box test (Box.test(x, lag = 1, type = c("Box-Pierce", "Ljung-Box"), fitdf = 0) command in R) by groups (Date variable) and to present the test statistics/test results in a list or data frame?

I tried the following approach

Testresults = df %>% group_by(Date) %>% do(tidy(Box.test(df$FiveMinRet_sq, lag = 1, type = c("Ljung-Box"), fitdf = 0)))

The output is what I am looking for, however, by this approach, I obtain the same test statistics for all dates, so my approach is incorrect.

You should add example data and make this generally reproducible, please read: [how-to-make-a-great-r-reproducible-example](https://stackoverflow.com/questions/5963269/how-to-make-a-great-r-reproducible-example/5963610#5963610). — jay.sf, Jul 04 '20 at 10:41

score 0 · Answer 1 · answered Jul 04 '20 at 11:06

Without a reproducible example in the question I can't test the code for this solution, but one way to separate the tests by Date is to use split() and purrr::map().

df %>% 
     split(.$Date) %>% 
     purrr::map(.,function(x){
          do(tidy(Box.test(x$FiveMinRet_sq, lag = 1, type = c("Ljung-Box"), fitdf = 0)))     
     }) -> testResults

# combine into a data frame
as.data.frame(do.call(rbind,testResults))

Apply a test by groups

1 Answers1