English, Article edition: QSTAT2: MATLAB function to compute Ljung-Box Q statistic Christopher F. Baum

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Bookmark: http://trove.nla.gov.au/version/102811
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  • code
Language
  • English

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Title
  • QSTAT2: MATLAB function to compute Ljung-Box Q statistic
Author
  • Christopher F. Baum
Physical Description
  • code
Notes
  • This MATLAB function computes the Ljung-Box 'Q' statistic, or portmanteau test, for autocorrelation in a timeseries. It is often applied to regression residuals as a diagnostic. The calling program specifies one or more lag lengths. QSTAT2 returns one or more test statistics and associated P-values. Various utility routines from Jim LeSage's Econometrics Toolbox (q.v.) are required. Also see Kanzler's QSTAT on this archive.
  • RePEc:boc:bocode:t961403
Language
  • English
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