Re: [Gretl-devel] Problem with Ljung-Box Q pvalues

When you right click on a time series in your dataset and select 'correlogram', the autocorrelations, partial autocorrelations, Q statistic (Ljung-Box) and their pvalues are printed and these pvalues are correctly obtained from a chi-square distribution with M degrees of freedom being M the number of autocorrelations tested. But when you estimate an ARIMA model and, in the model window, you select Graphs->residual correlogram, I think gretl is applying the same function so the output window is printing the pvalues obtained from a chi-square (M) while now this should be (M-p-q). So the pvalues shown are incorrect. In fact if, in the model window, you select Tests->Autocorrelation, you may obtain the Ljung-Box statistic with the pvalue obtained correctly from a chi-square (M-p-q)