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

Curse of dimensionality, The phrase first spoken by one of the witches in M...

The phrase first spoken by one of the witches in Macbeth. Now this is used to describe the exponential rise in the number of possible locations in the multivariate space as dimensi

Hypotheses, a company suppliers specialized, high tensile Pins to customers...

a company suppliers specialized, high tensile Pins to customers. It uses an automatic lathe to produce the pins. Due to the factors such as vibration, temperature and wear and tear

Probability weighting, Probability weighting is the procedure of attaching...

Probability weighting is the procedure of attaching weights equal to inverse of the probability of being selected, to each respondent's record in the sample survey. These weights

Random allocation, Random allocation is a technique for creating the treat...

Random allocation is a technique for creating the treatment and control groups particularly in accordance of the clinical trial. Subjects receive the active treatment or the place

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

Length-biased data, Length-biased data is a data which arise when the prob...

Length-biased data is a data which arise when the probability that an item is sampled is proportional to its own length. A main example of this situation occurs in the renewal the

Alternative hypotheses and spss calculation, 1) Question on the first day q...

1) Question on the first day questionnaire asked students to rate their response to the question Are you deeply moved by the arts or music? Assume the population that is sampled

Particlefilters, Particlefilters is a simulation method for tracking movin...

Particlefilters is a simulation method for tracking moving target distributions and for reducing computational burden of the dynamic Bayesian analysis. The method uses a Markov ch

Data mining, The non-trivial extraction of implicit, earlier unknown and po...

The non-trivial extraction of implicit, earlier unknown and potentially useful information from data, specifically high-dimensional data, using pattern recognition, artificial inte

Operations Management, 1.Sam Lucarelli, owner of Lucarelli Products, is eva...

1.Sam Lucarelli, owner of Lucarelli Products, is evaluating whether to produce a new product line. After thinking through the production process and the costs of raw materials and

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