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

>> 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). I'm tempted to dive into the details, but not now; let me just say that this whole discussion has not weakened my skepticism about using the Q-type tests for residuals (as opposed to raw original series).