English, Article edition: WNTSTMVQ: Stata module to compute multivariate Ljung-Box Q test Richard Sperling; Christopher F Baum

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/175561
Physical Description
  • code
Language
  • English

Edition details

Title
  • WNTSTMVQ: Stata module to compute multivariate Ljung-Box Q test
Author
  • Richard Sperling
  • Christopher F Baum
Physical Description
  • code
Notes
  • wntstmvq performs the multivariate Ljung-Box portmanteau (or Q) test for white noise in a set of timeseries. This test is a generalization of the univariate Ljung-Box portmanteau (Q) test implemented in Stata as wntestq. The null hypothesis of the multivariate test is that the autocorrelation functions of all series in varlist have no significant elements for lags 1-lags.
  • timeseries, independence, Q test
  • RePEc:boc:bocode:s416001
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment