9:17 a.m.
Hi!
Can anyone give me a reference for how the Johansen trace test statistics
are "Corrected for sample size"?
Best regards
/Olle
On Mon, May 23, 2011 at 6:00 PM, <gretl-users-request(a)lists.wfu.edu> wrote:
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Today's Topics:
1. Q statistic for ARIMA (Sam Sam)
2. Re: Q statistic for ARIMA (Ignacio Diaz-Emparanza)
3. degree of freedom of Ljung-Box Q (Sam Sam)
4. Re: degree of freedom of Ljung-Box Q (John C Frain)
5. degree of freedom of Ljung-Box (Sam Sam)
6. Re: degree of freedom of Ljung-Box (Allin Cottrell)
----------------------------------------------------------------------
Message: 1
Date: Mon, 23 May 2011 00:14:58 +0800
From: Sam Sam <dear.sam(a)livemail.tw>
Subject: [Gretl-users] Q statistic for ARIMA
To: <gretl-users(a)lists.wfu.edu>
Message-ID: <SNT141-w2245F37074CC9A172B31168B730(a)phx.gbl>
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Dear all:
Does it provide Box-Pierce Q statistic to test if residual is
autocorrelation for ARIMA in gretl ?
Thanks a lot
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Message: 2
Date: Mon, 23 May 2011 10:33:34 +0200
From: Ignacio Diaz-Emparanza <ignacio.diaz-emparanza(a)ehu.es>
Subject: Re: [Gretl-users] Q statistic for ARIMA
To: Gretl list <gretl-users(a)lists.wfu.edu>
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El 22/05/11 18:14, Sam Sam escribi?:
> Dear all:
>
> Does it provide Box-Pierce Q statistic to test if residual is
> autocorrelation for ARIMA in gretl ?
>
> Thanks a lot
Gretl provides the Ljung-Box statistic, wich is a refinement of
Box-Pierce Q with better small sample properties. You may see it in the
arima model window, clicking on /Graphs/Residual correlogram (Q_stat).
--
Ignacio Diaz-Emparanza
DEPARTAMENTO DE ECONOM?A APLICADA III (ECONOMETR?A Y ESTAD?STICA)
UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
T.: +34 946013732 | F.: +34 946013754
www.ea3.ehu.es
------------------------------
Message: 3
Date: Mon, 23 May 2011 17:45:17 +0800
From: Sam Sam <dear.sam(a)livemail.tw>
Subject: [Gretl-users] degree of freedom of Ljung-Box Q
To: <gretl-users(a)lists.wfu.edu>
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Dear all:
I am confused about that degree of freedom is the number of lag or the
nuber of lag minus the number of parameter estimated
(When using Ljung-Box Q stat. to test if the residuals of ARIMA is
autocorrelated.)
It seems that degree of freedom of the nuber of lag minus the number of
parameter estimated used in many study.
Thanks a lot
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Message: 4
Date: Mon, 23 May 2011 13:08:52 +0100
From: John C Frain <frainj(a)gmail.com>
Subject: Re: [Gretl-users] degree of freedom of Ljung-Box Q
To: Gretl list <gretl-users(a)lists.wfu.edu>
Message-ID: <BANLkTimq_EOi60dUpe8OUd5HKuA1NBzfEg(a)mail.gmail.com>
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The degrees of freedom of the asymptotic distribution of the
Ljung-Box test statistic is the number of auto correlations included
minus the number of parameters estimates. You will find an
explanation in any good time series test (e.g. Brockwell and Davis
(2006), Shumway and Stoffer (2006 2011(?)), Tsay (2010) ). Remember
this result is only asymptotic and therefore is only approximate.
Some software packages therefore do not include the adjustment to the
degrees of freedom. There are no universally accepted rules as to
the number of lags that should be included in the autocorrelation
function.
Best Regards
John
2011/5/23 Sam Sam <dear.sam(a)livemail.tw>:
> Dear all:
>
> I am confused about that degree of freedom is the number of lag or the
nuber
> of lag minus the number of parameter estimated
> (When using Ljung-Box Q stat. to test if the residuals of ARIMA is
> autocorrelated.)
> It seems that? degree of freedom of the nuber of lag minus the number of
> parameter estimated used in many study.
>
> Thanks a lot
>
> _______________________________________________
> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>
--
John C Frain
Economics Department
Trinity College Dublin
Dublin 2
Ireland
www.tcd.ie/Economics/staff/frainj/home.html
mailto:frainj@tcd.ie
mailto:frainj@gmail.com
------------------------------
Message: 5
Date: Mon, 23 May 2011 21:12:40 +0800
From: Sam Sam <dear.sam(a)livemail.tw>
Subject: [Gretl-users] degree of freedom of Ljung-Box
To: <gretl-users(a)lists.wfu.edu>
Message-ID: <SNT141-w14930C79ED67B1161075878B720(a)phx.gbl>
Content-Type: text/plain; charset="big5"
Thanks a lot.
When testing if the residuals of ARIMA is autocorrelated,
degree of freedom of Ljung-Box Q stat. is just the number of lag, or the
number of lag minus the number of parameter in gretl?
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Message: 6
Date: Mon, 23 May 2011 10:47:09 -0400 (EDT)
From: Allin Cottrell <cottrell(a)wfu.edu>
Subject: Re: [Gretl-users] degree of freedom of Ljung-Box
To: Gretl list <gretl-users(a)lists.wfu.edu>
Message-ID: <Pine.A41.4.58.1105231046180.647616(a)f1n11.sp2net.wfu.edu>
Content-Type: TEXT/PLAIN; charset=US-ASCII
On Mon, 23 May 2011, Sam Sam wrote:
> When testing if the residuals of ARIMA is autocorrelated, degree
> of freedom of Ljung-Box Q stat. is just the number of lag, or
> the number of lag minus the number of parameter in gretl?
The number of lags
http://en.wikipedia.org/wiki/Ljung%E2%80%93Box_test
Allin Cottrell
------------------------------
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