Ljung-box q-test, Advanced Statistics

Assignment Help:

The Null Hypothesis - H0: There is no autocorrelation

The Alternative Hypothesis - H1: There is at least first order autocorrelation

Rejection Criteria: Reject H0 if LBQ1 >

Autocorrelation Function: RESI1

Lag         ACF          T    LBQ

  1   0.0081553   0.32   0.10

  2   0.0065510   0.26   0.17

  3  -0.0279832  -1.09   1.36

  4  -0.0079441  -0.31   1.46

  5   0.0254074   0.99   2.44

There are 83 lags but the first 5 have been used identify whether there is auto correlation present:

Lag

LBQ

Chi-Squared

Interpretation

1

0.10

1640_Tests for Heteroscedasticity.png= 3.84

Since LBQ = 0.10 < 3.84 so accept H0 as there is sufficient evidence to suggest there is no autocorrelation

2

0.17

 1640_Tests for Heteroscedasticity.png= 5.99

Since LBQ = 0.17 < 5.99 so accept H0 as there is sufficient evidence to suggest there is no autocorrelation

3

1.36

 1640_Tests for Heteroscedasticity.png= 7.81

Since LBQ = 1.36 < 7.81 so accept H0 as there is sufficient evidence to suggest there is no autocorrelation

4

1.46

 1640_Tests for Heteroscedasticity.png= 9.48

Since LBQ = 1.46 < 9.48 so accept H0 as there is sufficient evidence to suggest there is no autocorrelation

5

2.44

 1640_Tests for Heteroscedasticity.png= 11.07

Since LBQ = 2.44 < 11.07 so accept H0 as there is sufficient evidence to suggest there is no autocorrelation


Related Discussions:- Ljung-box q-test

Huffman coding based compression, Huffman code is used to compress data fil...

Huffman code is used to compress data file, where the data is represented as a sequence of characters. Huffman's greedy algorithm uses a table giving how often each character occur

Classification matrix, Classification matrix: A term many times used in di...

Classification matrix: A term many times used in discriminant analysis for the matrix summarizing the results and outputs obtained from the derived classi?cation rule, and obtaine

Hypergeometric distribution, Hypergeometric distribution is t he probabili...

Hypergeometric distribution is t he probability distribution related with the sampling without replacement from the population of finite size. If the population comprises of r ele

Inferetial statistics, wat iz z difference b/n logistic regression and mul...

wat iz z difference b/n logistic regression and multiple regression analysis /

Data reduction, The method of summarizing the large amounts of data by form...

The method of summarizing the large amounts of data by forming the frequency distributions, scatter diagrams, histograms, etc., and calculating statistics like means variances and

Estimation, The process of providing the numerical value for the population...

The process of providing the numerical value for the population parameter on the basis of information gathered from a sample. If a single ?gure is computed for the unknown paramete

Explain household interview surveys, Household interview surveys : The surv...

Household interview surveys : The surveys in which the primary sampling units are typically geographic regions such as nations or cities. For each such unit sampled, there are addi

Explain intervention analysis in time series, Intervention analysis in time...

Intervention analysis in time series : The extension of the autoregressive integrated moving average models applied to time series permitting for the study of the magnitude and str

Latin square, Latin square  is an experimental design targeted at removing ...

Latin square  is an experimental design targeted at removing from the experimental error the variation from two extraneous sources so that a more sensitive test of the treatment ef

Construct the de bruijn digraph, A directed graph is simple if each ordered...

A directed graph is simple if each ordered pair of vertices is the head and tail of at most one edge; one loop may be present at each vertex. For each n ≥ 1, prove or disprove the

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd