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QSTAT2: MATLAB function to compute Ljung-Box Q statistic

Author

Listed:
  • Christopher F. Baum

    (Boston College)

Programming Language

MATLAB

Abstract

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.

Suggested Citation

  • Christopher F. Baum, 1999. "QSTAT2: MATLAB function to compute Ljung-Box Q statistic," Statistical Software Components T961403, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:t961403
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/q/qstat2.m
    File Function: program file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/q/qstat2_d.m
    File Function: demo file
    Download Restriction: no
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    More about this item

    Keywords

    MATLAB;

    Statistics

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