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QSTAT: MATLAB module to calculate Ljung-Box q statistic

Author

Listed:
  • Ludwig Kanzler

Programming Language

MATLAB

Abstract

QSTAT (SERIES, M) returns (row vector) Q, the Ljung & Box corrected Q statistics of serial correlation in (vector) SERIES for each lag order specified by (vector) M, and (row vector) QSIG, the levels of significance at which the associated null hypotheses of no correlation are rejected.

Suggested Citation

  • Ludwig Kanzler, 1998. "QSTAT: MATLAB module to calculate Ljung-Box q statistic," Statistical Software Components T850803, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:t850803
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/q/qstat.m
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    More about this item

    Keywords

    MATLAB;

    Statistics

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