Hi,
I am testing the residuals from a regression for autocorrelation (for an
assignment at school), and the correlogram in Gretl gives me a different
value for the Ljung-Box Q than i'd expect. I'm using a maximum lag of 2,
and the autocorrelation coefficients are 0,7452 and 0,5167 respectively.
These are the same values that Eviews produces, but Gretl gives the
Ljung-Box Q as 17,5104, while Eviews gives 19,388, and my own
calculations gives 19,386, using the formula found in Gujarati's Basic
Econometrics, fourt edition, page 813. Does Gretl use a different
formula to calculate the Q value?
I'm using version 1.5.0, but i can't find anything about this in the
release notes for the later versions, so i'm assuming it might still be
a problem, if it is a problem and not some mistake or misunderstanding
on my part.
As i'm new to this list, i might as well briefly introduce myself. I'm a
student at Uppsala University in Sweden, currently studying economics
and statistics. Also, thank you Allin Cottrell for a great program!
/Adrian Adermon