Re: [Gretl-devel] Problem with Ljung-Box Q pvalues
Am 03.03.2015 um 16:05 schrieb Allin Cottrell:
I was thinking along the same lines as in your patch for library.c in
the GUI, but it's not that simple. Two things have to be answered.
1) What's the appropriate generalization of "m-p-q" for cases such as
"gappy" arma and seasonal arma? Is it just the total number of AR and MA
coefficients estimated?
Yes, AFAICS that's the idea. I'm saying "AFAICS" because given the
lagged endogenous terms in an ARMA model I have never really understood
why this Q test should be used rather than an LM-type test. But that's a
different discussion I guess.
(BTW I'm not sure what you mean by seasonal ARMA or how it differs from
a standard ARMA.)
2) What should we do with our current table of results, which shows ACF,
PACF, Q statistic and p-value from m = 1 up to a specified maximum lag?
Obviously we can't show a p-value when the df is < 0. Should we suppress
all of the rows until m is large enough that df > 0, or just not print Q
+ p-value for the initial rows?
FWIW Eviews used to not print p-values for the first lags I think, but
maybe that has changed.
If I'm not mistaken these Portmanteau type of tests do not only require
large T but also large m (max lag considered). So the whole business
becomes even murkier when m is so small that m-p-q becomes negative.
Also using dof=m instead of m-p-q is not wrong asymptotically I believe,
it's all "just" about small-sample corrections (which can be very
important of course though).
thanks,
sven