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

On Tue, 3 Mar 2015, Allin Cottrell wrote: > 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, I agree, this is why I inserted the comment line /* probably wrong but just for testing by now */ However, this is no more wrong than what we were doing before and arguably right in the most common cases. > 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? Good point. We may want to drop the Qs for the firs m rows, the rationale being: the sample autocorrelations (either total and partial) are statistics which can be given a descriptive interpretation, so there's no reason to drop them. That said, they also form the basis for the Q statistic, which is probably only worth reporting when it can be given a meaningful interpretation as a test statistic (that is, when df>0).