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

On 03/03/15 17:31, Sven Schreiber wrote:

> If I'm not mistaken these Portmanteau type of tests do not only > require large T but also large m (max lag considered). In most practical cases no, I think this is not true. m has to be large enough to have a sense (including the relevant correlations) but not very large because this may imply very low power.

> 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). If your T is very very large you may calculate the Q stat for a very large m, and then given p and q not very large, a chi-square(m) and chi-square (m-p-q) may be similar. But usually we don't have so large T and we are interested in relatively low values of m. From m>p+q we have enough dof and the Q stat for a residuals series may have sense, and the asymptotic distribution is chi-square (m-p-q) different from the chi-square(m).