Re: [Gretl-users] Box-Pierce Q statistic

Dear all, Portmanteau testing for randomness........ I'm thinking that you might read p 310 Brockwell & Davis p 111-112 Kendall and Ord p 153 Cryer. Q testing is fairly primitive. Considered by many to be unreliable. But its your choice Dr RJF Hudson Qld Australia rjfhud(a)powerup.com.au ----- Original Message ----- From: Ignacio Diaz-Emparanza To: Gretl list Sent: Tuesday, March 01, 2011 7:40 PM Subject: Re: [Gretl-users] Box-Pierce Q statistic El 01/03/11 08:32, Sam Sam escribió: If you are talking about what appears in the ouput text window of the correlogram. I think although in the help it is said to be the Box-Pierce Q statistic, really it is the Ljung-Box statistic If you apply an ols regression to a time series, you may test for autocorrelation via the "test" menu. In such a case the output text window shows a Q' estatistic, correctly described as Ljung-Box I think gretl is using in both places the Ljung-Box statistic: (in latex format) Q'= T(T+2)\sum_{j=1}^M (r_j)^2/(T-j) being M the number of coeficients you want to test, T the number of observations and r_j the sample autocorrelation coeficient of order j. Q' has a chi-square asymptotic distribution with M-p-q degrees of freedom. It is asymptotically equivalent to the Box-Pierce statistic but has an smaller bias in small samples. So I think we should always prefer to use Ljung-Box Q' instead of Box-Pierce Q. -- Ignacio Diaz-Emparanza DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA) UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO T.: +34 946013732 | F.: +34 946013754 www.ea3.ehu.es _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users