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

Dirichlet process, The distribution over distributions in the sense that ea...

The distribution over distributions in the sense that each draw from the process is itself the distribution. The name Dirichlet process or procedure is due to the fact that the ?ni

Randomized consent design, Randomized consent design is the design at firs...

Randomized consent design is the design at first introduced to overcome some of the perceived ethical problems facing clinicians entering patients in the clinical trials including

Explain prevalence, Prevalence : The measure of the number of people in a p...

Prevalence : The measure of the number of people in a population who have a certain disease at a given point in time. It c an be measured by two methods, as point prevalence and p

Per-experiment error rate, Per-experiment error rate is the possibility of...

Per-experiment error rate is the possibility of the incorrectly rejecting at least one null hypothesis or assumption in the experiment including one or more tests or comparisons,

Historigram, difference between histogram and historigram

difference between histogram and historigram

Explain Geometric distribution, Geometric distribution: The probability di...

Geometric distribution: The probability distribution of the number of trials (N) before the first success in the sequence of Bernoulli trials. Specifically the distribution is can

Case series, Case series : It is the series of reports on the condition of ...

Case series : It is the series of reports on the condition of the individual patients made by treating physician. Such reports might be helpful and informative for the rare disease

Median, Median is the value in a set of the ranked observations which divi...

Median is the value in a set of the ranked observations which divides the data into two parts of equal size. When there are an odd number of observations the median is middle v

The breusch-pagan test, The Null Hypothesis - H0:  There is no heteroscedas...

The Null Hypothesis - H0:  There is no heteroscedasticity i.e. β 1 = 0 The Alternative Hypothesis - H1:  There is heteroscedasticity i.e. β 1 0 Reject H0 if Q = ESS/2 >

Define lagging indicators, Lagging indicators: The part of a collection of...

Lagging indicators: The part of a collection of the economic time series designed to give information about the broad swings in measures of the aggregate economic activity known a

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