On Thu, 2 Aug 2012, Alessia Via wrote:
So, in this case:
Equation 1:
Ljung-Box Q' = 0,67263 with p-value = P(Chi-quadro(4) > 0,67263) = 0,955
Equation 2:
Ljung-Box Q' = 1,25278 with p-value = P(Chi-quadro(4) > 1,25278) = 0,869
Equation 3:
Ljung-Box Q' = 0,0826623 with p-value = P(Chi-quadro(4) > 0,0826623) = 0,999
I have to reject the null of non significant correlation for eq. 2??
No. the p-value of 0.869 means that you are nowhere near rejecting
the null hypothesis (which, by the way, states that there is no
autocorrelation, not that there is no "significant"
autocorrelation).
Then we have to inform Prof. Enders that in at least the 2. edition
of his book "Applied econometric time series" he is wrong by writing
this.