Re: [Gretl-users] ARIMA residual
ACF and PACF provide tests of a single autocorrelation coefficient. The
Ljung-Box is a joint test for all autocorrelation coefficients up to the
lag m. There is no clear rule on how to select the number of lags. You
have to keep in mind that the power of the test goes down as you
increase the number of lags. On the oder hand, you don't want to choose
too few either. It also depends on the sample size. I prefer to look at
all lags from (p+q) (because it is chi-square m-(p+q) ) to some max lags
instead of 1, 12, 24, say. If you reject at 6 lags you may not see it
because the power at 12 may be low. I like to see how the test evolves
as we increase m. ACF and PACF are useful if we reject because it helps
choosing a better process.
Pierre
On 31/03/11 05:10 AM, Sam Sam wrote:
Dear all:
Afer estimating ARIMA, It is convenient to test if residual is white
noise in Gretl.
But I have two questions:
1. Gretl provide Ljung-Box Q statistic, residual acf and pacf.
Some paper test lag of 1 to 24,
Some only test lag of 6, 12, 18, 24.
Some only test lag of 1, 12, 24.
I am confused about the lag of Q statistic, acf and pacf.
2. Some paper test ARIMA residual by Q statistic, residual acf and pacf.
But some just test by Q statistic. Ignoring residual acf and pacf.
Are residual acf and pacf necessary when testing ARIMA residual ?
Thanks a lot
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
Attachments:
- attachment.html (text/html — 2.3 KB)