Re: [Gretl-users] Ljung-Box Q question
On Wed, 25 Oct 2006, adrian adermon wrote:
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.
This is with n = 20? Could you maybe post (or email to me
privately) a copy of the data you're using and instructions to
replicate the result? I'm not sure if this is (still) a problem
or not. Thanks!
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!
Welcome to the list -- glad you like gretl!
Allin Cottrell