Re: [Gretl-users] Q statistic for ARIMA
El 22/05/11 18:14, Sam Sam escribió:
Dear all:
Does it provide Box-Pierce Q statistic to test if residual is
autocorrelation for ARIMA in gretl ?
Thanks a lot
Gretl provides the Ljung-Box statistic, wich is a refinement of
Box-Pierce Q with better small sample properties. You may see it in the
arima model window, clicking on /Graphs/Residual correlogram (Q_stat).
--
Ignacio Diaz-Emparanza
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)
UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
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